I opened a ticket with support. The global white list that I was using had whitespace on the end, and for some reason MWG sees whitespace as an acceptable character.
So removed the whitespace after my entries and all is fine.
Java or Microsoft do not like to work thru any type of authentication platform.
For some reason when this rule was set up by the sales engineer there were no default sites in the list. I would have hope that if McAfee knows this is an issue these would have been in a default whitelist.
Oh well all is fine now.
The Web Gateway is designed for you to decide what you want access to. If it was setup to allow certain things off the bat, then McAfee would be responsible for anything they decided to allow access to without the customers approval.
Glad you got your problem solved.