It should be as simple as:
- Log into SMG
- Click on SMTP -> Message Audit Logs (found on the left of the Status page)
- Add the mandatory filter (recipient email address is the default) and adjust Time Range
- Hit "Display Filtered" button and review
The Verdict and Action(s) columns will tell you how the SMG dealt with the email at a high level. Click on the email result itself (one of the columns will be a link) and you can see the detailed information for the email, including what the next-hop SMTP server is.
BTW, all this is assuming we're talking about the SMG here, and not the Web Gateway you keep mentioning ;)