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The audit messages (particularly the 2nd one) suggest that the Firewall is unable to match you to the rule you have created and as a result the connection is falling through and hitting the "Deny All" rule.
Go to the Policy -> Rule Elements -> Passport screen and click on the "Manage Passports" button (in the top right-hand corner). This should present you a list of authenticated user accounts passed to the Firewall by MLC.
Can you see your user session in the list and does the "External Group" column include the group you have assigned to your HTTP browsing rule?
It seems that there was a sync problem with my MLC Group and Users on the server. Manually synchronizing the Group and Users did the thing.