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As I've mentioned in Sophos endpoint specific proxy settings there's no concise and comprehensible list of URLs accessed by the various components of SESC like the one for UTM (although the latter provides only a wildcard *.sophosxl.net for SXL that might not work with all firewalls).While Information on SXL (which, BTW, still mentions sophosxl.com in a typical lookup) provides a list of domains and their use, it doesn't cover apparent non-SXL communication (e.g. ssp.feedback.sophos.com).
Thanks for your submission, I'll forward your suggestion over to our team for discussion.
In the meantime, I believe these articles may help assist (I agree with your opinion about also having a single KBA that combines this info)