I've done more testing on this issue (with 0.92 now, a new game started from scratch) and I really think there is a bug.
----- spoiler related to what needs to be done to open the gate ------
Previously, when I said I was able to open the door, in fact I wasn't really (I'm not English it's difficult to explain).
What I was doing is simply reply "Then you are no ally of mine, you will face the hordes alone".
Then, immediatly, the gate opened (or dissapeared ?... there was no more gate blocking my way anyway)... but I was unable to go inside.
Now, I've found what is probably the real way to open the door, which is to attack the marchands from Gilden and make believe it's the hordes who did it.
If I do that, when I'm in front of the black door, if I choose "Then you are no ally of mine, you will face the hordes alone", I still have the same issue (can't open even if the gate is opened).
BUT, if I choose "You can not hide forever, I will be back", and then go back on the spot, and choose "I have evidence that Gilden already under attack", then the door opens and, this time, I can enter.
So, for me, there is a bug : The door should NOT open when you simply select "Then you are no ally of mine, you will face the hordes alone".