Hi Adrien,
Thanks for your reply. I managed to block it after fiddling with it for a while. Here's some of the additional steps that I did on top of my initial steps.
On top of installing the certificate on the test work machine, I have also installed the certificate on the server under Trusted Root.
As for Banned Sites list, I am using the
pattern match method instead of the exact match (faster) method. I've changed the URL from facebook.com to
www.facebook.com.
With these changes, Wingate will display the Blocked page whenever I browse Facebook and I am able to see Facebook getting HTTP 403 Request Denied on Monitoring > Activity panel.