Well..if the rule was deleted then something is wrong..
You said it is a managed client..So did you remove the rule from the SEPM manager ? Did the client update that rule change ?
Are you able to make rule change by going to SEP GUi- Network threat Protection - OPtions- Configure Firewall Rule ?
If it is just on 1 Clients can un-install Re-install the client or atleast the Network Threat Protection Component ?