What kind of error messages do you get? There should be no issues with SSL scanning on private network spaces. Are there block pages, or just browser errors? A rule engine trace may be useful here.
I have seen at various sites issues with MWG connecting back into a network, due to network or DNS issues.
there is no undocumented limitation I am aware of. I think MWG is probably not able to talk to the servers hosted in the private network due to some firewall limitation or there are whitelist rules in place which prevent SSL Scanner from inspecing the certificates.