I've got problem with vfr initalization. If a router is not contain any vfr (except main), and add a new vrf and setup default gw, the immediate gateway invalid. After a reboot, the inmediate gateway OK, and works well.
Perhaps it's just an error in the interface of Winbox, and it's not necessary to restart the router. It's possible that logging into Winbox again will display normal results
you don't even need to restart WinBox, just close and open the "routes" window. it always shows "unknown" for the immediate gateway of a new route, it's just a bug. (edit: actually maybe only for routes that include an interface specifier, but OP's VRF route does.)