I already have it enabled. It's 4712, because I can access in the same PC with a browser without proxy configured.
But there's a difference between your problem and mine. You see an error message from the Gateway, "Cannot connect". I do not. The error I see is from Internet Explorer, meaning that in some
way it leaves the Gateway correctly. This can be seen in the "green arrow" in the rule "Global Whitelist".
I've tried the tcpdumps suggested in the article from McAFee KB, and I see some Resets, but also SYNs. And because my problem is with the Console itself, it's hard to read the logs (at least
for my basic knowledge of TCP packages).
In your case i think it's your local firewall/router who reset's the connection. Because i guess there is a firewall or router involved, towards you are sending this request.
However i have no knowledge in how MWG treats this request, for instance if it's doing a forward route lookup and see's , ah this is for me. Instead of just sending it towards the default route (firewall/router).
In the packet capture you took, you could look at the source MAC-address of the reset packet in order to find out which device who sent it.