This issue applies to policy trace rule configured per instructions in the following documentation:
 
How to use policy trace to debug access issues

When Policy Trace file names are not one word and contain spaces the trace file will not be written.

When configuring the track option of the tracing rule the trace file name can be the same as the trace object name or it can be different.

• The important thing to note about the trace file name is that it cannot contain spaces.
• The policy will install if there are spaces in the trace file name but no trace file will be created.

 
Recommendation:  To avoid issues during troubleshooting do not use spaces in the trace file name. Using one word file names if best
Tested and verified on multiple versions of proxy firmware.