Your firewall is dropping the return traffic. However, since TCp is a stateful protocol, I would guess that your firewall is not a stateful firewall because it should have allowed all traffic in bound that is binded to a session that you initiated. It could also be your firewall is not properly configured. Anyways, post up your ACL. We promise we won't hack you.
I receive the following error in sysmon when attempting to get out to the internet