Hello @franctorres and @iesnoz ,
@franctorres, you didn't provided extra details about your setup, therefore we have to guess things.
CheckPoint can block applications with the help of "ApplicationControl blade" but that only without other modules like "HTTPS Inspection blade" doesn't do miracles.
@iesnoz , you say that there were some packets blocked even you had the AppControl in use, but can you show the logs so we see what was allowed and what was blocked? Could it be that it was allowed on HTTPS while HTTP was blocked? as I was reading some papers, Ultrasurf tries HTTP then some HTTPS connections in order to build the SSL tunnel .
Ty,