Roblox not working if "Use web proxy instead of DPI engine" is active

Hello to all.. Seems like roblox got me into a rabbit hole

Since I don't want to confuse you with a lot of stuff, long story short:

Roblox is not working if "Use web proxy instead of DPI engine" is active..

The roblox website is being accesed without any issues. When you select a game and you click on the Play button, the normal window that it starts to load opens and the game starts to load

But after a few seconds the following error appears and the game fails to load

What I have tried so far:

1. Created a firewall rule to allow all UDP (ports 49152-65535) according to what I found in https://en.help.roblox.com/hc/en-us/articles/115005744663-Troubleshooting-Education-Networks

2. I added a top rule in SSL/TLS inspection to Do not decrypt and have maximum compatibility for Games Category

3. As redundant as it might be, I also added an exception for the above UPD ports on the firewall rule that applies the web policy

Nothing seems to work.

The only thing that works is if I add an exception in Web to skip policy checks for .roblox.com. But this is obviously not what I want..

Any ideas welcome... I have been dealing with this quite a few days and I am at loss. May I also add that all logs in Log viewer show nothing being blocked