Hi,
Hope you are doing well.
When MWG doing SSL inspection , in that case MWG generates a certificate on the fly for the HTTPS website requested, so if the client is not able to trust that certificate then SSL handshake fails and you can see Unknown CA/CERT_AUTHORITY_INVALID kind of errors. You can take a packet capture or check for any log at client side to confirm on the same. If yes then importing the certificate into them will help.
When you bypass SSL inspection in that case SSL handshake happens directly between client and destination server and certificate is received from actual destination server which the client side is successfully able to trust.
Regards
Alok Sarda