What type of device are you using as an endpoint? From my understanding, if you're using a Tera2 platform (HP products and others) than your desired sequence isn't supported. UAG, MFA, and View Disclaimer are not all supported at the same time in the Tera2 module. One would have to go according to their release notes. Their workaround isn't really a workaround...
What is your UAG version?
You can try configure Unified Access Gateway for pass-through authentication and configure RADIUS on the Connection Server
Does it happen only through that particular PCoIP device?
Are you able to reproduce the issue via normal windows horizon client over pcoip protocol? It will let you isolate the problem.
If we disable the banner on the connection server and allow the users to connect from external network via UAG, does it still stuck on loop.
If YES, then it is not related to banner. You may also need to check the session persistence on Load Balancer infront of UAG if any.