The problem with AnyDesk is that TLS scanning doesn't work with the connection made to their relay servers (which join the client to the host), so the connection fails.
Exempting URL's doesn't work because the connection is made by IP, not URL. There is a 3 year old post (https://community.sophos.com/xg-firewall/f/discussions/101061/anydesk-not-working) that suggests utilising the Category 'IP address' as a basis for exemption. I think this is a poor solution as it will then allow any direct IP connection, not just the AnyDesk ones.
AnyDesk don't publish a list of their relay servers (presumably because they change over time) but they do have URLs (they just don't use the URL to make the connection). They are all of the format *.net.anydesk.com, e.g. relay-5f045e20.net.anydesk.com
Using a site to retrieve all the A records (I used https://hackertarget.com/find-dns-host-records/) I got a list of all the relay servers, 387 currently, I then put this in an IP list and used that list to exclude the IPs from TLS inspection and AnyDesk works with no issues.
For those wishing to block AnyDesk, you can use this information to build a block list, although, if you are using TLS scanning, AnyDesk doesn't currently work anyway! Maybe Sophos will fix this in a future release (I'm currently using 18.0.3 MR-3).
The list of relay servers will probably change over time, in which case you can use this info to create a new list or just add any new IPs as they crop up (you should be able to find them in the 'SSL/TLS inspection' part of the log viewer).
For those too lazy 
to build their own list, the current list is:
192.155.106.69 46.4.105.230 177.54.145.75 136.243.81.155 178.128.83.14 216.245.193.50 104.243.41.211 5.188.148.22 186.233.185.73 103.107.198.70 186.233.185.64 92.38.148.19 82.223.101.124 5.188.148.13 49.12.130.236 178.162.151.213 138.201.130.101 95.217.197.184 37.61.218.225 136.243.71.27 116.202.225.117 51.81.245.48 92.38.150.63 199.127.62.145 209.222.97.48 92.223.66.68 46.4.101.81 134.119.220.101 139.99.68.207 82.223.102.174 5.188.71.118 178.162.151.212 178.128.118.254 208.115.237.254 116.202.172.152 216.144.253.178 139.99.69.89 92.223.66.67 177.54.145.77 116.202.162.91 5.188.148.26 51.91.80.122 139.99.121.132 51.195.5.158 51.178.91.234 82.223.39.162 85.195.83.105 51.178.65.177 92.38.150.24 51.178.65.228 51.83.239.144 51.89.98.178 92.38.148.17 51.89.6.202 177.54.150.126 139.99.122.45 186.233.185.71 51.83.238.200 136.243.77.37 146.0.234.85 51.89.98.179 116.202.114.37 64.31.33.218 51.178.91.237 38.39.192.6 92.38.150.23 88.99.1.27 88.198.34.103 177.54.145.44 38.39.192.10 207.188.6.19 162.254.201.201 82.223.120.52 92.223.88.232 176.9.92.22 192.155.106.115 138.201.7.158 51.83.238.221 139.99.69.87 62.75.235.180 178.128.116.60 144.76.103.21 146.185.219.17 92.38.150.61 92.223.66.38 51.83.238.213 151.106.5.211 134.119.216.185 92.38.150.66 51.83.238.241 51.178.91.233 5.188.71.55 136.243.44.15 172.105.219.53 51.89.98.181 104.238.148.200 51.91.80.124 51.83.239.145 146.185.219.33 136.243.137.2 92.223.85.103 177.54.155.15 192.155.106.225 136.243.135.166 51.91.80.119 199.127.60.83 49.12.130.235 92.223.66.75 192.155.108.5 92.42.108.153 189.1.174.48 213.198.67.114 92.223.66.31 103.107.198.54 92.223.88.41 78.46.49.23 134.119.216.245 92.38.150.67 189.1.174.39 216.245.219.66 213.239.219.11 92.223.85.102 92.38.177.11 145.239.1.122 167.99.75.56 92.38.150.71 138.201.217.169 177.54.155.18 167.99.76.132 92.38.150.70 186.233.185.76 138.201.29.112 51.178.65.229 185.19.219.127 5.188.120.11 216.245.218.30 172.104.112.178 46.4.233.44 148.251.127.85 92.38.150.65 51.83.239.142 186.233.185.74 172.104.93.149 136.243.57.19 139.99.122.30 51.83.238.211 51.89.67.18 172.107.217.106 103.107.198.42 51.83.238.210 186.233.185.60 139.99.123.27 51.83.238.202 172.104.71.53 51.89.67.16 136.243.59.28 92.223.66.34 138.201.7.157 45.76.222.77 5.188.148.25 177.54.145.34 51.178.65.231 5.9.112.244 116.202.208.24 64.31.23.30 51.89.64.182 54.36.108.137 92.38.150.73 5.188.120.14 178.128.116.81 167.179.71.125 51.195.5.159 51.68.153.120 217.182.199.175 136.243.56.154 5.188.148.21 186.233.185.65 51.83.239.73 69.162.111.202 148.251.77.80 103.107.198.62 92.223.66.72 178.128.86.15 51.195.5.156 116.202.229.59 38.39.192.14 37.61.223.15 139.162.123.221 92.223.85.104 192.155.106.71 82.223.30.238 116.202.225.124 116.202.225.122 51.68.153.119 195.201.82.113 51.195.5.157 64.31.23.22 139.99.69.88 167.179.86.175 185.209.178.72 51.89.42.214 92.38.177.14 92.223.66.69 5.188.148.12 92.38.150.22 202.182.119.71 176.9.98.56 199.127.62.156 51.178.91.235 199.127.60.136 202.182.100.173 136.243.132.27 177.54.145.74 178.128.86.132 146.185.219.86 199.127.60.241 103.107.198.66 51.91.80.48 45.35.72.2 92.38.150.76 88.99.99.121 88.99.214.67 186.233.187.20 51.91.80.120 189.1.174.38 136.243.74.99 46.4.101.74 85.195.107.61 5.188.120.15 64.31.35.26 103.43.75.140 207.188.6.17 189.1.174.43 177.54.145.80 167.179.65.23 64.31.23.26 64.31.35.194 92.223.66.71 51.89.42.215 92.223.66.73 185.136.166.135 146.185.219.14 185.136.157.95 92.223.66.78 189.1.174.47 177.54.145.72 92.223.85.147 206.189.47.231 51.83.238.220 74.63.224.34 5.188.95.14 92.223.85.87 146.185.219.89 92.223.85.148 51.83.238.218 88.198.34.109 199.127.60.120 54.36.108.171 51.83.238.209 92.223.85.165 192.155.106.221 45.126.208.85 144.76.78.144 189.1.174.46 103.1.213.62 146.185.236.42 198.13.49.12 92.223.66.77 217.182.199.184 116.202.225.111 82.223.102.22 51.91.80.121 85.195.124.5 92.38.150.72 177.54.150.13 92.223.85.164 148.251.69.85 64.31.35.242 108.61.182.228 177.54.145.78 103.107.198.26 51.178.65.230 199.127.60.121 51.89.67.17 45.76.123.16 172.104.108.83 146.185.219.46 85.195.107.63 107.155.105.90 136.243.39.33 92.223.88.7 103.107.198.18 189.1.174.45 136.243.46.247 186.233.185.58 95.217.197.179 92.223.66.66 64.31.35.22 51.195.5.155 167.179.98.127 185.136.157.77 186.233.185.40 172.105.236.156 136.243.56.13 92.38.150.75 185.209.179.55 5.188.120.13 192.155.108.7 208.115.215.134 148.251.66.236 116.202.216.243 108.160.143.219 51.83.238.212 177.54.145.71 186.233.185.70 177.54.145.37 139.162.89.248 92.38.177.17 146.185.219.70 136.243.61.14 45.76.220.248 46.4.112.232 177.54.145.36 82.223.9.59 92.223.66.70 177.54.145.79 92.38.150.69 92.223.85.166 213.198.67.42 62.75.202.219 134.119.216.159 85.25.103.30 177.54.145.38 92.38.150.68 139.162.106.85 177.54.145.82 51.83.238.201 82.223.103.159 37.61.223.13 103.107.198.6 134.119.213.193 51.195.5.160 216.245.220.126 139.162.124.109 198.13.33.92 136.243.71.104 92.223.66.33 51.178.65.178 146.185.219.44 177.54.145.76 5.188.71.117 51.83.238.219 172.105.220.182 136.243.48.30 69.162.91.190 186.233.185.37 216.245.195.98 177.54.150.16 5.188.71.10 82.223.102.211 172.104.87.76 172.107.217.82 216.245.220.122 213.198.67.162 213.239.213.142 92.223.66.29 103.107.198.50 116.202.162.14 136.243.50.29 45.35.33.218 177.54.145.81 198.13.54.215 37.48.76.146 192.155.110.41 103.107.198.46 186.233.185.67 49.12.130.237 116.202.225.112 167.99.73.168 51.89.64.145 138.201.40.141 177.54.150.12 51.83.239.143 92.223.66.79 64.31.23.18 92.38.150.9 136.243.4.12
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