What you have been told is correct under certain cirmcumstances.
Lets say you had WCCP up and running. You then decide to turn it off. While it has been off, you have rebooted. If you decide to turn it back on, you must reboot in order for it to work.
Reason being, the OS only initializes the correct iptables rules on boot up if WCCP is on. If WCCP is off, those rules are not enabled.
If you simply disabled WCCP for a moment, then turned it back on, this would not require a reboot as the iptables rules would still be loaded.
The key is to determine if the correct iptables rules are in place. You can check for this by typing the following from the MWG's CLI (over SSH):
iptables -t nat -L
For more info see the basic setup guide:
WCCP Basic Setup Guide - https://kc.mcafee.com/corporate/index?page=content&id=KB63018
In MWG7, initializing the iptables rule for WCCP is done without requiring a reboot.
Hope this helps,