This is a specific enough issue that you probably want to engage mcafee support and have them look more specifically at your configuration.
It's not clear to me if you're talking about inbound ftp somehow or if you're doing outbound ftp.
Finally we solve this ACTIVE FTP on FW side. But I am not still sure if FTP over HTTP proxy module is able use activeve ftp. The settings is the same as for FTP proxy module, but makes no sense in some situations.
Basicaly: to test ftp connection can be done via CLI by Lftp command on install mc on box.