Sophos XG Hyper-V VM as a filtering device

I know this has been asked before, and I have read several posts about how to do it, but I am just not getting it to work.

I have installed the Sophos XG Hyper-V appliance.  I have another firewall product that is replacing my XG that I had installed on an old Gateway I3 computer.

What I would like to do is have the XG VM using one NIC to act as a Filter for some of my kids devices.

I have followed the following discussions:

https://community.sophos.com/products/xg-firewall/f/firewall-and-policies/10932/single-nic-for-just-web-proxy-setup

https://community.sophos.com/products/xg-firewall/f/network-and-routing/11202/help-needed-to-setup-web-proxy-only-on-esxi

I have a test Windows 10 pointing at the above.   I can Tracert to any website and it works.  Yet when I try to browse to the same site, it fails.

I have created a policy in my Windows DHCP server that, based on MAC address, sets the default gateway of the client to the Sophos VM.

I have a default route in the Sophos VM that points to the Firewall

I have my device as a clientless user

The clientless user is in a client group known as "Kids Devices"

Here is the policy that I have created.  

Any help would be appreciated!!!

Thanks