I think you're on the right track with your understanding. modbus is a communication protocol that can operate over TCP or RS485 as a transport. All devices wanting to communicate have to be on the same transport, hence the existence of gateways.
Loxone has good modbus TCP support (at least, as good as any modbus it supports). So long as the remote device supports modbus TCP and they're on the same LAN, it should be fine. For example, I integrate Loxone to SolarEdge inverter with no additional hardware. (mine has the ethernet connection already built in).
If the device you are integrating with does not have built in modbus TCP (e.g. a more basic device that does not have ethernet of any sort built in), then you need a gateway. If the device doesn't have any modbus of any sort (not TCP nor RTU) built in, as sounds the case here, then the gateway doesn't necessarily have to involve modbus at all.
e.g. maybe the aidoo KNX will give you a wired solution
it's a same the aidoo pro doesn't have a wired ethernet connection. looks a handy product otherwise