There are numerous cases of getting Gatekeeper Diamond: I have received it on a couple of occasions myself, and I can say that all you need to do is kill everything at Hellgate, then leave, without taking damage (and on at least the Ultra-violence difficulty). If there are ANY damage sources at all, whether direct attacks or splash damage or self-inflicted hits, this will prevent you from getting the badge. If, for some reason, this is definitely the case and yet you still didn't get the badge, then that would be a bug and you should report it.
I haven't heard of any cases where this is a bug, so it's possible that you took damage somewhere without realizing it.