Sorry I am not explaining myself to well. I'll try better.
Clients do not depend upon the session broker function to be able to connect to the terminal server farm. In your case, when using a NLB cluster the clients will be connecting to the virtual IP assigned to the cluster. As they connect, the session broker acts as a 'man in the middle' to direct the client to a particular server, or reconnect to an existing session on a particular server. Now, say for example for whatever reason the session broker is down; clients will still be able to connect to the NLB cluster, but not have the session broker functions (i.e. direct to an existing session).
Placing your session broker role service on your DC should be ok, I was just trying to stress the point that if the physical box went down then you would have bigger concerns with your network other than the session broker service not working.
The session broker does indeed support connection to existing session, thats basically the purpose of it. However of the 3 examples you give the only one that would work there is thin client rebooting. Don't think of this as clustering, its not. The session broker basically sits there and as clients connect it does a check to see if there is already an existing session open on one of the servers, if there is then it reconnects the incoming user to that server, if not then it puts them on the next available one. If your terminal server goes offline, then all the sessions on that server will die with it. As the users reconnect, they will be treated as a new incoming session. The session broker will know that the terminal server is down and will not direct users to that server until it is available again.
Now, I believe you need to have 1 08R2 server as a licensing server, however I am not 100% certain on this. I haven't tried to configure GPO's for 08R2 servers, I would imagine it should still work, but since you need an R2 server as your licensing server you should do your GPO stuff on this server.
Client side connects to the NLB IP, yes.
DNS round robin is only meant if you are not using NLB.
You still need to configure the farm name on the terminal servers, but this should be done from within the GPO you create.
Follow the steps outlined in the technet article I linked to above, they will be much better than anything I'll be able to muster.
