I deduce from what you say that the feasible space is somehow rescaled so that
gammalies in [0,1], which explains the default valuegamma_max = 1in the package.
Yes exactly, gamma corresponds to the step from your current iterate to the computed extreme point of the feasible set. \gamma=1 brings the next iterate to the boundary. > 1 would make the next iterate infeasible.
What may happen is that the Frank-Wolfe direction is misaligned with your gradient, hence the small steps. I assume your feasible set is polyhedral? It might be worth trying the other main algorithms (AFW, etc), check out the docs here: Home ยท FrankWolfe.jl