ORIGINAL: Centuur
It's a bug. I think this bug is related to the use of ITPOTE. To me, it looks like that MWIF seems to forget that there were Allied ships present at the start of the impulse, if one saves and reloads a game during naval movement when using this optional rule.
Nice catch! That's exactly what's going on. I did take a break during the naval move by saving and then re-opening the game turn. I also just confirmed that ITPOTE is the culprit when you do that (i.e., MWiF forgets about the presence of allied ships at the start of the impulse). I did this by "turning off" this rule in the "first" game turn attached and the allies were able to get to box 4 in the Bay of Biscay.
So the workaround until this bug is fixed is don't close and re-open your game turn in the middle of a naval move.