MWG should not block these URLs by default. The port should not be interesting for MWG, unless there is a rule that looks for the port. Are you using a transparent setup? In transparent modes MWG by default only handles port 80 and 443. Other ports may be treated in a different way but should simply pass through.
I think the best way to find out why the connection fails is a packet capture created on MWG.
I have de same problem, but I can not find where I can change the configuration for allowing pass through in MWG. The configuration of my MWG is in simple proxy mode, Anybody has any idea how to use URLs with differen port than 80 or 443 for examle http://www.bancodeloja.fin.ec:8080/
Thanks in advanced for your help
is MWG able to communicate to the internet on port 8080?
Is you connect to MWG via SSH and run
echo "GET / HTTP/1.1" | nc www.bancodeloja.fin.ec 8080
you should see somthing coming back from the remote server. If nothing comes back, most likely port 8080 is blocked for MWG by a firewall.