Fully working, with additional configuration.
Allow the TeamViewer firewall bundle on the Egress page.
TeamViewer tunnels non-HTTPS traffic through the proxy. Since the traffic is not HTTPS, it must be excluded from HTTPS decryption. Unfortunately, whilst some of TeamViewer's connections are to the teamviewer.com domain, it also makes connections to arbitrary IP addresses without specifying a host name in the proxy CONNECT request or TLS handshake. This makes it impossible to exclude only TeamViewer's traffic from HTTPS decryption.
Fortunately, TeamViewer can also use TCP port 5938, so a firewall rule can be added allowing this traffic.
Some of this information is from the TeamViewer website: https://www.teamviewer.com/en/help/334-Which-ports-are-used-by-TeamViewer