Today we sniffed with Wireshark to track down the issue.
We saw only request from vCenter to Serengeti Management Server but no answers.
It's furthermore still unclear to us why the vCenter logs indicate that the Firewall/Proxy is serving the "no Proxy configured" page or why a request is getting this direction. We can't see http/https communication between vCenter and the FW or Serengeti Management and the FW.