As it turns out, Terminal Server load balancing actually works, and my problem was something completely different: I had been using hostnames in the relevant policies that were resolved by local host entries on the SA. For some reason these policies didn't match when the TS connection was sent to another host in the farm (possibly TS session broker uses IP addresses as destinations when deflecting connections, couldn't find that out in detail). As soon as I directly used the IP addresses of the destination systems in my policies, the problem went away, and sessions were distributed to all terminal servers in the farm without further problems. Just a small display problem left, but one I can live with: The TS client will display the IP address of the inital host in it's address bar, not the one it's been connected to in the end.
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