User is getting warning on WSS Agent status as "WSS SSL intercept certificate was NOT found"
SSL interceptation is enabled in Cloud SWG Policy > SSL/TLS Interception.
User is not getting any certificate warning when browsing any https sites in web browser.
You want to know the reason behind why WSS Agent is displaying such warning.
WSS Agent
Windows OS
When WSS Agent is installed it automatically install WSS SSL intercept certificate in following two store. Here in this case it was not present in LocalMachine\Root store hence the warning.
CurrentUser\Root
LocalMachine\Root
To verify whether WSS SSL intercept certificate is resent in above mentioned store or not run the following command from Windows PowerShell running as administrator.
Get-ChildItem -Path Cert:\* -Recurse | Where-Object {$_.Thumbprint -eq "2b4eaf4c71f5f27fbd8f0fb55c73abc39f15147e"}
Note: Here WSS SSL intercept certificate thubprint is 2b4eaf4c71f5f27fbd8f0fb55c73abc39f15147e
Expected output:
Reinstall the WSS Agent which should fix this issue.