The purpose of this article is to provide an explanation and a solution to the issue where the Threat Risk Health Check displays the error mentioned above.
The Threat Risk database is part of the Symantec Intelligence Services Advanced Bundle. This means the database can only be downloaded from a device that has that bundle currently attached to the device. If Symantec Web Filter or Symantec Intelligence Services Standard Bundle are in place, the Threat Risk database will not download as it is not supported by them.
Make sure you have a valid Symantec Intelligence Services Advanced Bundle attached to the device (this can be found in the Licensing Portal) and that it is properly selected under the Management Console > Content Filtering > Blue Coat > Data Source.