When creating a new policy on a new SMG server you may find that the policy may not work on a test message.
When you check the gwava log: /opt/gwava/services/logs/gwava-<#>/<date>.log you find:
[139685115610880] 2018-08-10 12:10:02 (ppst)<6> Processing scan requests [139685115610880] 2018-08-10 12:10:02 (QUMN) No policies were located to scan this message [139685115610880] 2018-08-10 12:10:02 (rrqs)<6> Sending response to client [139685115610880] 2018-08-10 12:10:02 GWAVA client connection finished processing [139685115610880] 2018-08-10 12:10:02 (chnd)<6> Closing gwava client handler
This tends to mean that the fully qualified domain name for your domain is not in place.
Go to the System Administration console | Organization \ Policy Management | Domain Management and set the domain to the fully qualified domain name of your email server.