The integrated application in OneNote that syncs with SkyDrive does not handle authentication. This issue can be resolved on the ProxySG appliance by bypassing authentication for live.net.
Write the following content policy language (CPL):
<proxy>
url.domain=live.net authenticate(no)
Alternatively, in the Visual Policy Manager, create or edit a Web Authentication layer and create a rule with live.net as the Destination and Do not authenticate as the Action.