You are sending traffic, via ICAP, to a DLP solution and want to added custom HTTP headers to differentiate HTTP and HTTPS traffic.
To achieve this you need to use the following CPL police which needs to go into the local policy on the proxy. Currently this can not be achieved via VPN.
#Setting Custom Headers
define action set_icap_header_HTTP
define action set_icap_header_HTTPS
Note: CustomHeader is a user defined field and HTTP_ID/HTTPS_ID are any values you wish to set in the header