Every device sends a ACK msg when it recieves a message from the othr end point. In the example that you have stated, the Gateway would send a 200 OK which means the instructions in the message was carried out successfully. Incase there is a failure the message being sent to the CM would not be 200 OK .. it would be 1XX or any other reason code based on the cause of the failure.
Also, as the MGCP gateway is a master/slave endpoint, it always sends every signalling msg that it receives back to the call agent to process it and let the Gateway know what it should do next.
I hope this answers your question, if not, let me know the call state we are discussing as Modify msg is sent under multiple call states between Create Connection and Delete Connection command
