Did the Trick for me. You should at least scan HTTP traffic. Probably it's also necessary to use HTTPS scanning, to block same URLs via HTTPS (Not sure, if Teamviewer also uses HTTPS as Fallback - I'm using HTTPS scanning anyway)
Lets give it a try. If Teamviewer still is able to connect, it's maybe also using a open Firewall Port - I use a very strict outgoing ruleset ;o))