That is expected behavior. You dont want to "Proxy the Proxy (UI)". So an IE exception would be necessary.
This is expected because the client will make the request through port 9090 (the proxy), so the Web Gateway will do what it does and attempt to proxy it, but then it will fail.
Thanks Jon. This is the way that I suspected the MWG to work. My question is there a way for MWG to route those requests back to the gateway?