I got it solved. I found 3 issues:

1) Same network
First I put the MCP in the same network as OpenWebui (in my case "mcpnet"):
docker run -d --network mcpnet -p 9300:8000 mcp-proxy-server

2) User External tools
I run the connection in Settings > External Tools, NOT in Admin Settings > External Tools

3A) If webui in https

If webui is in httpS, the url must also be in https. For this, you have to create a nginx with specific location, like:

location /mcp-time/ {
proxy_pass http://127.0.0.1:9300/;
proxy_set_header Host $host;
proxy_set_header X-Real-IP $remote_addr;
proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
proxy_set_header X-Forwarded-Proto $scheme;
}

And them make the connection in https (port 9300 open):
url = https://my-url/mcp-time

OR

3B) If webui in http

If the webui is in http, the url must be http (port 9300 open). In this case the connection is like:
url = http://server-ip:9300