Cannot connect WiFi with Firewall rules in place.

I have a couple of Lenovo (Windows 10) tablets at home for the kids. They have their own user accounts on the XGFW but were not set up with Client Authentication on the tablets yet. When the tablets attempt to establish a WiFi connection they sit until they time out. If I disable all but the basic LAN-WAN and WAN-LAN firewall rules then I can establish a WiFi connection, download the Authentication Client from the XGFW portal and all is good from there. I can turn on the firewall rules again and everything works.

I've noticed some similar lack of response when connecting to WiFi from other devices. My setup has all WiFi access points on the LAN side, then Sophos XG in bridge mode to ISP supplied VDSL modem/router. The XGFW does all DHCP for the LAN and normally has a top rule in the firewall to allow DNS traffic out. Other firewall rules are pretty basic but mainly control kids' time and basic user authentication.

What possible reason could there be for the XGFW to interfere with the WiFi connection process? Note that it doesn't even connect to the SSID, it asks for the passphrase and then basically hangs.