Can't watch Microsoft Virtual Academy videos

If our users try to watch a MVA videos, for example  https://mva.microsoft.com/en-US/training-courses/microsoft-intune-core-skills-11791?l=PAOcAgmEB_1104984382,  the loading 'spinner' appears for a long time before they are able to play the video, as if it is being  cached/scanned. However, looking at the UTM web filtering log (line below) seems to show that it is a streaming media and so should not be cached/inspected.

2016:07:26-13:38:10 xxxutma-1 httpproxy[31710]: id="0001" severity="info" sys="SecureWeb" sub="http" name="http access" action="pass" method="GET" srcip="xxx.xxx.xxx.xxx" dstip="2.16.9.34" user="xxx" group="" ad_domain="xxx" statuscode="200" cached="0" profile="REF_DefaultHTTPProfile (Default Web Filter Profile)" filteraction="REF_HttCffBasicFilte (Basic Filter)" size="68650" request="0xa8dac00" url="video.ch9.ms/.../732MSIntuneCoreSkillsM01_high.mp4" referer="" error="" authtime="52" dnstime="16367" cattime="139" avscantime="0" fullreqtime="40077" device="1" auth="2" ua="Mozilla/5.0 (Windows NT 10.0; WOW64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/51.0.2704.103 Safari/537.36" exceptions="" category="147" reputation="neutral" categoryname="Streaming Media" content-type="video/mp4"  

What is the problem and how can I fix this?

Thanks