How does the "Host Google Tag Manager JavaScript on your own domain" work? I think this tries to load /jc/gtm.js ? Is that dynamically generated? I don't the addon is able to create it for me, as there's no such file
Probably better to apply special rules that route a request away from the application (XenForo) only if the file exists in the filesystem. I mean if you want to do it “right”.
XenForo can handle any extension, so not sending certain requests to XenForo based on extension isn’t the best, so a check on that logic if the file exists or not would be better (I know, just repeating).