you have a rule set inside MWG's rule library in the UI. Add a new rule set, chose "from Library" find the ICAP section and pick the client rule set.
yep, the really rudimentary ICAP client rule is there but i remember there was a bot more elaborate ruleset present here somewhere.
I don't recall seeing much other than the default rule sets for ICAP client.
Are you sure you're not confusing it with a rule set for ICAP server where a customer application is calling MWG to scan files? That one, i have.