Hi and welcome, I have device on my network that sends udp packets using IKE etc through my standard internal network - > MASQ external interface for IPv4. I assume you have firewall rule similar to this internal network -> any port -> any -> allow -> log. To get my VPN device working I did not need to add any rules. Now if you only had the http proxy enabled then yes you would need a MASQ rule. Fianlly, you have assumed incorrectly that the UTM has default rules. The default action of the UTM is to block all traffic. So you need to build your own rules for everything.
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