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Lol, a colleague of mine had a similar confusion when moving from Check Point (two words) to PAN. PAN uses two separate pieces of hardware in the same box, one for control connections (management interface) and one for filtering production traffic. 

With Check Point security gateways, there is no separate routing for the management interface. Although it is called MGMT on most of the appliances, it is a part of the main connectivity framework, meaning it can receive and forward any production traffic crossing the FW, not just management connections for the gateways and back.

So if you change the default GW, it applies to all interfaces, including your management interface, if you are working with Check Point