Yea that's because when you delete all the rules from the policy it defaults to blocking all traffic.
All firewall traffic is generated in the Traffic log.
Yes, you will need to add exclusions to either allow the app or the traffic to/from your game servers.
I don't know why you don't see anything in the traffic and assuming you do have logging turned on for all rules you should be seeing quite a bit of logs. Doesn't make sense to me but since I'm trying to help remotely, I obviously ca't see what you're doing.
This has went on for awhile, may want to contact support so they can remote into your environment.