Policy evaluation is matching notify user rule.
On the browser, the window that contains the Youtube embedded video will show the following message:
"Notify Failed--Cookie Not Sent (notify_missing_cookie)"
This will affect browser that enabled blocking third party cookie by default like Chrome.
There is a feature on the browser where it will block third-party cookies like on Chrome browser, this is enabled by default. When the proxy's notify-user object been applied, there is a need for the browser to redirect this notify-user object cookie and the issue that you are seeing is because the browser is blocking this third party cookie.
The issue is more of a browser security feature in regards to the third party cookie.
There are two workarounds:
1. On the proxy, bypass the Notify User rule for this URL - "youtube.com/embed".