its much easier to explain with pictures.....
when you take the gate off, the air jumps up over the cab, and then is sucked immediately back down all the way to the bed floor.
with the gate on, (and especially with a bed cover) the air jumps up over the cab, drops a little to about the bed rails, and then drops a little again at the rear of the truck. with the gate, there ends up being much less turbulence, much less of a "vacuum area" being created.
basically the truck is much more aerodynamic with the gate on, and will get you better mileage.