We have been using Identity Agent for years, but unfortunately I have never used the tool and I have Zscaler Client Connector installed on the client I am currently working on, so I cannot reproduce this. Can you see a connection request from your client to the outside via Wireshark? I'm not sure if it's really 443/tcp, but it should be.
If so, do you see a reset response from the server or nothing coming back at all? Is the branch gateway already configured for Identity Agent? Does entering the GW directly as a server in Identity Agent work, do you get a connection?
and now to something completely different - CCVS, CCAS, CCTE, CCCS, CCSM elite