I just tried it using the Mattermost Preview image. With the default setting for Allow Untrusted Internal Connections - "" - I got the same error you saw. When I set it to 127.0.0.1 localhost I received this error:
{"level":"error","ts":1585095118.2333198,"caller":"app/webhook.go:110","msg":"Event POST failed.","error":"Post http://localhost:5005/webhook: dial tcp 127.0.0.1:5005: connect: connection refused"}
This shows that it was able to attempt the connection and wasn’t filtered because it was directed to an internal address. (My docker image isn’t set up to access my host and I don’t have a service running on port 5005 on the docker machine.) I also have EnableInsecureOutgoingConnections set to false.
Can you verify that Allow Insecure Connections is set to the correct values in the System Console?