If (and only if) you use Sticky connections, which makes sure a given client always routes through a single gateway even when load balancing, then there is an additional tab under Diagnostics > States called "source tracking" that lists the relationships between a client and the gateway they're routing through.
Sticky has other drawbacks but if you need your clients to "stick" to a particular WAN for all their traffic, and see what that WAN is, then it can be useful.