When using Web and Cloud Access protection on SEP 14.3 RU6 and above you may see the following error after installing the SEP client:
WSSNS Status: Connected
Warning: UDP connection to GSGRS failed (26)
Warning: WSS SSL Intercept certificate was NOT found
Web and Cloud Access Protection
SEP 14.3 RU6
The root certificate that allows SSL traffic to be inspected in the cloud is missing from the operating system's trusted keystore.
In previous versions of macOS, 3rd parties were able to silently install certificates. From the support of SEP 14.3 RU6 (minimum macOS v13 Ventura), certificates can no longer be silently installed.
The requirement of the root certificate and installation is detailed in TechDocs:
Depending on previous installation and upgrade paths, Mac clients may have already installed the SSL root certificate, but Administrators need to control distribution to the root certificate using MDM or Group Policy with the requirement that the root certificate must be deployed.