The solution is to add an additional rule, to allow msiexec.exe to run with elevated permissions.
1. Specify the path of the install as the share name. \\server\sharename\installer.msi
2. Add rule to allow C:\Windows\System32\msiexec.exe as well.
3. If necessary, for 64-bit apps add a rule for C:\Windows\SysWOW64\msiexec.exe