Configured VPN connection,remote VPN connect but firewall policies not applied and open all sites also company local sites not opening

Hi Jignesh patel1,

Thanks for reaching out, and welcome to the Sophos Community! 

You would have to turn on the "Use as default gateway" option in the SSL VPN profile to send internet traffic through the firewall, configure VPN to WAN firewall rule and apply required web filtering policies.

For the second issue with the internal local sites and tool access, create a new IP host/ network in permitted networks and ensure that VPN to LAN firewall rule is configured. 

Reference screenshot and KBA: Sophos XG Firewall: How to troubleshoot SSL VPN remote access connectivity and data transfer issues

Thanks,