There is more that need to be configured that your screenshots do not reveal. For example the management IP, this needs to be the physical Ip of the appliance. Nor does it show if a priority is set (needs to be set in order to start taking traffic). Also, the current proxy ports are not shown. For example if 9090 is not defined then this will not work either.
For reference, MWG does not use iptables for the redirection. It uses a kernel driver to redirect called mfend.
To check the status of mfend, you can type:
To see if MWG is propertly ready to accept traffic type:
To see what state MWG is in:
For complete setup information see page 114-118 of the 7.3.2 Product Guide - https://kc.mcafee.com/corporate/index?page=content&id=PD24502