Good question. That sounds like a valid use case to me. Our VxWorks, Wind River Linux, and Wind River Pulsar operating systems connect directly to Helix App Cloud just like you described.
To connect Rocket to Helix App Cloud without the Virtual Gateway you would need to add a network stack, network driver, TLS library, and an agent on the device. The Intel Galileo Gen 2 has ample resources for this, but many microcontrollers wouldn't which is why we created the Virtual Gateway to offload some of that work. Allowing Rocket to connect directly could be a useful enhancement. I'll jot down the suggestion on my list of future enhancements.
We do have a project template in Helix App Cloud called "HTTP server using LWIP Project" that might be of interest to you. The README.txt inside the project provides instructions on how to import the lwIP network stack and an ethernet driver for the Galileo Gen 2 into your project. It doesn't connect to the Helix App Cloud over Ethernet, but it does let you set up a simple HTTP server.