Running CA Access Gateway (SPS) for Federation Services, acting as SP, is it possible to run your Service Provider (SP) side, without configuring a User Directory?
No. Unfortunately, it's impossible, as Federation relies on sharing the identity of the user from both sides.
Both Partners, Identity Provider (IdP) and Service Provider (SP), define together an agreement, how the user will be found on each side. This is how Federation is built.
Both sides should have a User Directory where to find the user:
Account linking can be used for browser-based single sign-on, where
each partner maintains separate user accounts for the same user. (1)
Partnership federation looks up entries in a user directory to
verify identities and retrieve user attributes for a given
principal. At the asserting party, the federation partner
generates assertions for the appropriate users, and authenticates
each user against a user directory. At the relying party, the
federation partner extracts the necessary information from an
assertion and looks in the user directory for the appropriate
user record. (2)