It's working.
I leave here my experience in case it is helpful to someone else:
I'm not sure if the fact that our web server works with SNI / virtualhost affects inspection in some way but, in my case, the inspection only works with Application Control and URL Filtering blades both enabled.
Only with AC I get Internal system error in HTTPS Inspection (Error Code: 2)
Trying to only enable URL Filtering the policy installation fails with "Policy installation failed on gateway. If the problem persists contact Check Point support (Error code: 0-2000112)."
With both enabled, the inspection is working and the IPS is blocking correctly the HTTPS urls that match the IPS protections.
Now I'm stepping forward testing with two domains/rules:
When I test the first domain, the first rule matches the traffic and does the inspection.
When I test the second domain, the second rule does not match the traffic.
I'll keep updating.