Yes, you need a gateway on both interfaces, then when your setup is functional you can begin setting up multiwan.
It's also good to check if the gateways report the correct status in System -> Gateways -> Status.
Policy based routing uses the gateway status to determine valid targets.
OOohhh nasty gotcha.If I set up a IPSEC connection and specify WAN3 the system still creates a route via WAN1