You'll need to ensure that content inspection is turned on in the HTTPS proxy, and that your browser is not trying to use the QUIC protocol
(How to prevent connections from Chrome browsers that bypass WebBlocker and SafeSearch restrictions with QUIC protocol?)
In the HTTPS proxy action you've set up, the "if none matched" option needs to be set to "inspect" so that the firewall will inspect HTTPS traffic. Since google sends all traffic over https.
Both devices are capable of doing this, the WatchGuard is just much more customizable.