We want to create a rule to block the download of some types of files in the online exchange, but the domain where they are hosted is not possible is https://attachments.office.net,
when we try to download an example .zip file, it is downloaded without problem, we cannot view the file from the central rule tracing.
If you only see the full URL host in rule trace, then SSL/HTTPS scanning is bypassed so that MWG does not break the SSL traffic and can therefore not look inside the encrypted session. So you only see the URL host but not the files/paths in it, hence, you cannot filter for that.
In such cases, you must perform SSL/HTTPS scanning to let MWG at first look inside the encrypted session. Then you should see full requests to the files/paths and only then you can setup rules based on that.
If you have further troubles, I recommend to open a SR and attach feedback file, rule trace and mention your rule as this information is to sensitive for community.
I assume attachments.office.net is bypassed from SSL inspection, which means you cannot look inside the traffic. The recommendation (Microsoft and McAfee) is to not intercept the traffic to ensure compatibility.
You can try to exclude attachments.office.net from any bypasses and check if the functionality is still given and you are able to see the media type in the rule traces as expected. If you see the media types you should be able to apply a block based on media type.