Ok a couple of updates. This environment 'which is highly sensitive' is totally locked down from a Security Policy to L2 and L3 Switches which drops everything from Ping, Traceroute, Tcptraceroute, etc so no 'joy' trying to use those tools for some basic T/S of the network/route paths.
Next, everything that leaves the MDS is either CP 'Well known ports' for GW Policy/Log Mgmt or 80/443 for CP Web Services which 80/443 should be going directly to the proxy and only the proxy. This was verified by using the curl_cli with --proxy_ip:8080 qualifier tests and hcp -r "Connectivity to UC" tests. Those two sets of tests were both successful and go out the proxy as intended.
I also found this sk - https://support.checkpoint.com/results/sk/sk83520 - That lists all Sites used by CP for Web Service(s)/Update
Also confirmed that not only this MDS but also multiple other gateways that need access to the Web for CP updates, all use this same CP Proxy FW and none are having any issues.
Just to be clear all CP Web Services and Updates are working as expected, it's just this MDS seems to want to contact CP every night at 2:40 AM and for an unknown reason, bypasses the proxy and the MDS outbound connections are then dropped on the Egress FW because it's the MDS Source IP and not the intended Proxy Source IP. Otherwise the destination traffic is legit. It's not like the MDS has a some sort of malware trying to establish an outbound connection to 'phone home'. It's trying to reach these three destinations for CP Web Services hosted in AWS
3.167.152.116 - AWS
52.85.12.125 - AWS
13.225.143.28 - AWS
This, as when the MDS traffic reaches the Egress FW it 'should' have 'already assumed' the IP address of the Proxy....