Safari shows the error message "This connection is not private" after upgrade to macOS 10.15 and later. That works well if ProxySG is not SSL intercepted.
7.x is not impacted.
The macOS 10.15 has been added some fields on their certificate and this is mandatory to certificate own apple site secure. The description is here.
Requirements for trusted certificates in iOS 13 and macOS 10.15
So the most important value is "EKU" fields which is required and evaluated by Safari. Before 18.104.22.168 doesn't support this value.
This should be upgrade to 22.214.171.124 and later. EKU field has been added from 126.96.36.199.