Thanks Eric...thought that was going to be the case, so have swapped IP's over on the NIC's....works as expected.
MWG is just a awesome product! :-)
I don't think this will work 100% the way you expect it to. By default the Linux kernel (MWG is based on a customised Linux distribution) can respond to ARP requests on any network interface. So, if you have IP 192.168.0.2 on eth0 and 192.168.0.2 on eth1 and the router ARP's for 192.168.0.2 eth0 can and likely will respond. This means that traffic for 192.168.0.2 will flow through eth0 and not eth1 as you might expect.
You can change this behaviour, though I'm not sure if McAfee support this or not. (you can find a bit more info here: https://www.kernel.org/doc/Documentation/networking/ip-sysctl.txt and search for arp_filter on that page)
An alternative way of doing it is to connect each network interface to a different network. In MWG, you would have eth0 on, for example, 192.168.0.1/24 and eth1 on 192.168.1.1/24 you then configure static routing for to cover your internal networks and have them route out eth0 and then set a default route for eth1 which will route all traffic to the internet.
In your case, as you are chaining to an upstream proxy, you might want to have a static route for eth1 sending all traffic to the upstream proxy that way and a default on eth0.
Either way, if you need to ensure 1 interface is ingress and 1 is egress for traffic accountancy then you might want to look into this a bit more.
Thanks for the response, but as per Eric's suggestion and my response my configuration now works.
eth0 is now outbound for all traffic, and eth1 is inbound.