In my case, the problem was asymmetrical routing and the topology wasn't configured correctly.
Assuming that your problem is the same as mine, the solution is:
1- It's essencial to ensure that all traffic is received and sended in the same VLAN/network (check routes);
2- Create a network group and add all the networks that will pass by that VLAN/network to communicate with the server;
3- In the checkpoint cluster gateway definitions, go to network management, open the interface that you want to configure and in topology setting select modify, Internal (leads to local network), specific and put the group previously created.
4- Check the firewall rules, allowing networks to communicate with the server and vice-versa.
After that, everything should work just fine!