I think there might be several ways to get RDP traffic through MWG. One could do a CONNECT and tunnel the connection through the HTTPS Proxy. This should not work in case SSL inspection is done, since MWG will notice there is no HTTP traffic in the tunnel and block non-HTTP traffic.
There is also a service "RDP over HTTPS", where it seems you connect to a service via HTTPS and from there RDP is done into the internal network. In case SSL Scanner is enabled it should be possible the check the URLs and see if there is a specific pattern we can apply to block the request.
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