Alert message itself "Permission Denied" is telling you it [FGT] can't locate any "matching" authentication info you have provided.
I assume this is sslvpn web mode access
did you check the vpn log entries in regards to these "Permission Denied" access attempts ? verify sslvpn portal, and user group
since wan1 is working you may try replacing wan1 with wan2 interface, if its working after changes we can conclude some settings or steps is missing while configure wan2 sslvpn
you should backup config before do any changes
Technical Note: Firewall Policy check for SSL-VPN Web mode (portal):-