When trying to use Threatpulse on the PacketShaper via a Microsoft Forefront TMG, the connection is failing.
By default, Microsoft Forefront TMG will not accept a CONNECT request on port 80.
You can confirm this is the same issue by performing a packet capture on the localhost on PacketShaper. The response from the TMG will be non-standard SSL request not accepted (even though this is not a non-standard SSL request — an HTTP CONNECT request does correctly use port 80.)
There are workaround solutions created by Microsoft on the Microsoft TechNet pages.