I would say that as long as you are connected through a broker you will always go through their gateway, with probable risk check etc. Considering that the speed difs between both connectors are futile. If you have a direct connection with the exchange, clearing directly,with co-location of servers and the like, then it gets vital.
The soon your trading sucess will get dependent on the speed diffs in both connectors you officially entered the Latency race, which is basically a game for them that have very deep pockets.