OK, update -
I installed latest JHF (take 183) and enabled the 'Get identities from other gateways' on FW2.
('share local identities with other gateways' was always ticked on both gateways.)
However, it doesn't looks like it helped. I still don't see username in logs from FW2, only on FW1.
I have a similar problem from the other way around:
Users are establishing VPN connection (SSLVPN) with FW2, however when trying to access resources behind FW1, their user data isn't propogated.
When I tried to enable 'Get identities from other gateways' on FW1, it broke the IA mechanism, and no user data was available for TS agent AND PCs.
I'm kinda lost here with how this mechanism works...