There are issues with Skype through a ProxySG or wanting to deploy Skype to users who access the Internet through a ProxySG appliance.
This includes Skype (Free edition). Skype for Business Formerly Microsoft LYNC would be better handled with 6.7.x SGOS and would also be included with the about Imoperability Article
There are effectively two issues presented by Skype's design:
Additionally, the Skype desktop application ignores explicit proxy settings. Whether this is design or not has never been disclosed by Microsoft.
The best option is to consult Microsoft Support for assistance, as their application is proprietary, non publicly documented, and is capable of changing at any time Microsoft chooses. Their own documentation will defer you to a Microsoft certified technician for assistance with setting up Skype Free Version with a Proxy.
The most effective workaround is to TCP tunnel the application through the proxy. This is problematic for the following reasons:
1. The IP's and URL's in use can only be determined from observation as Microsoft does not publicly disclose this information. These are also subject to change without notice.
2. With Explicit proxy, the Skype application likely will not reliably continue explicit communication, which will cause oddities based on some tcp sockets owned by the proxy while others owned only by the client
Otherwise, you should disable SSL decryption against the Skype URLs and IPs depending on your deployment type (Explicit is best with URL while Transparent is best with IP)