Are you running HIPS 8.0 Patch 2 (build 220.127.116.111) or higher? This was resolved in Patch 2.
PD23957 - Host Intrusion Prevention 8.0 Patch 2 Release Notes
5. Issue: Firewall rule does not trigger when using the "Allow any signature" option. (Reference: 695368)
Resolution: Fixed the digital signature-matching logic.
You should also be able to go to the machine and use the ClientControl.exe /exportconfig 3....etc to get a view of the exceptions.
You may also find some useful info using the clientcontrol.exe /log option to get some useful logs in C:\Users\All Users\McAfee\Host Intrusion Prevention folder.
Of course, I also see that my HIPS exceptions are on the computer, but it is still popping...so that is a new mystery.