I also have this issue with our ePO 4.5 installation. the default action is Allow Through, no matter how many times we try and change it.
We have a Groupshield 7 install on a standalone Exchange server and the rule works fine there (Replace, Log, Quarantine)
Anyone any idea's around this issue?.
For me it turned out to be the browser I was using. I think it was Firefox causing the issue, IE8 worked fine (or the other way round I forget).