what do you exactly mean? As normal HTTPS traffic, this should also go through MWG as any other HTTPS traffic.
If you talk about whitelisting/bypassing MS O365 Service traffic (including MS Teams) from rest of policy (SSL scanner, authentication, etc.), then you can import "Bypass Microsoft (Office 365) Services" rule set from library. Therefore navigate in UI to "Policy" tab > "Rule sets" > click on Add button and select "Rule Set from Library..." > navigate to "Common Rules" > select "Bypass Microsoft (Office 365) Services" > click "OK" > move to top of policy.
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