Say I gained knowledge from a review article. However, I don't cite that review article. I do cite articles cited by that review article, but not the review itself.
Should I still include that review in my bibliography?
I have handled similar situations by adding a sentence citing the article, such as
Smith (2003) provides a useful summary of this topic.
My reasoning is that since I found the review article very helpful, people reading my article may be interested as well. I know I appreciate references like this.
I see this question is tagged with the "ethics" tag, and there is also an ethics subtext to the question, although it is not stated explicitly. Well, I don't see it as an ethics question at all. The purpose of citations is not to serve as acknowledgements to an author whose paper taught us something useful, and citing a paper is not something you should do as a courtesy because you want to be nice to someone or feel that they deserve a pat on the back. Rather, citations have two goals:
We cite a paper if we feel that this would help the reader. Will your readers be interested in seeing this review article as background material for the topic you are discussing? If yes, then definitely cite it.
We cite a paper to properly acknowledge the research contributions of other authors, on which our work relies and builds on, so that the reader is informed about the context of the new work we are discussing in our paper. If by citing the papers referenced in the review article you have already provided such a context, then citing the review article in addiiton is not necessary.
The point is that there are good reasons to cite a review article. But an ethical consideration involving some moral debt that you feel you owe to the writer of the review article, which seems to be what you are asking about, is not one of them.
It may depend on the type or purpose of the document. If it's a journal article, check the requirements in the Instructions for Authors. Some state that the reference list / bibliography should only list sources that are cited in the paper. Similarly, if it's a thesis chapter, check the requirements for your school or university regarding citations and reference lists / bibliographies.
I don't know what the expectations are in your field. However, one way this sort of thing might be dealt with in mathematics is to write something along the lines of
 gives a helpful review of this subject.
We direct the reader to  for onoverview of related work.
I think that is a valid way of including the reference if you feel you want to do so, without actually needing to decide whether it is necessary or not.
You have to motivate authors of review articles. The simplest way to do so is to cite them. If we do not motivate people, then no one will eventually perform this sort of not very thanked and quite time consuming job and you will have no opportunity to retrieve knowledge quickly as you did now.
Only the cited articles are listed in bibliography. Therefore, if you don't cite the review article, you do not include it in the bibliography.
If you think that the review article is useful and you want to include it in the bibliography, you can just cite it in the paper.