Try changing :
Component.For<MyEngine>().Forward<IEngine>().Interceptors<ScopeInterceptor>());
into
Component.For<MyEngine>().Forward<IEngine>().Forward<MyEngine>().Interceptors<ScopeInterceptor>());
I don't have the time to actually try it but this should force windsor into creating a class proxy, which should solve your issue
Kind regards, Marwijn.
-- edit --
for the current link try replacing :
Component.For<IEngine>().ImplementedBy<Engine>()
with:
Component.For<IEngine, Engine>().ImplementedBy<Engine>()