For TCP connections, the first packet the Security Gateway expects to see is a TCP SYN.
This packet would then be evaluated by the rulebase to determine whether or not the connection is permitted.
If it sees a TCP packet that is not a SYN and it can be associated with an existing allowed connection, then the packet will pass.
In the case where the TCP packet is NOT a SYN and cannot be associated with an existing connection, you see this error.
If you search on the phrase "First packet isn't SYN" in SecureKnowledge, there are several possible reasons this might occur.
In your case, it looks like a FIN-ACK packet has been received.
These are associated with closing a TCP connection gracefully.
The Security Gateway had already aged out the connection from the connections table, which happens after the TCP End Timeout (40 seconds by default, as I recall).