When the ProxySG is deployed explicitly and policy rules are set to deny certain pages with a proxy exception page.
When the denied page is accessed we're receiving an connection error page from browser but not the ProxySG's denied page.
This is caused since detect protocol for Explicit HTTP is not enabled. For HTTPS web sites the ProxySG will need to be SSL Intercepting the web site in order to display the custom exception page.
Enabled detect protocol for the Explicit HTTP Proxy service listener and ensure in the policies that the domain in question is being SSL Intercepted. After this has been enabled the ProxySG will start show the correct proxy's denied page or if there is custom exception page in place, it will show the custom exception page.
To enable detect protocol: