K, so here is how I would approach troubleshooting this. So, lets start with whats logical, or what we know...so, we know 100% that if all this works without CP fw in the "pitcure", there is something on the fw side causing the problem. What can it be? Well, usually, for things like this, I would first look at the service(s) used.
In the old days of CP, what people would do is edit the service, select protocol as 'NONE, which in simple terms, would essentially bypass IPS inspectrion, if you will.
Thats one thing to try and install policy, test. If that fails, I would generate fw monitor as per below.
Lets pretend user's IP is 1.1.1.1, zendesk is 2.2.2.2 and port is 4434
idea is srcip,srcport,dstip,dstport, protocol
so it would be like this (just use right IPs and ports, of course, though for the context, ONLY dst port matters)
fw monitor -F "1.1.1.1,4434,2.2.2.2,443,0" -F 2.2.2.2,443,1.1.1.1,443,0"
0 is for any protocol
Once you have that, send, so we can analyze.
Best,
Andy