Just a couple clarification questions: How are you proxying through the web appliance (explicit/transparent)?
Does the Network Connectivity tests all pass on the web appliance (Configuration > Network > Network Connectivity)?
If you have a support license with us I think it would be easiest to figure out this issue over a support ticket. We could do some troubleshooting via. remote access and look through the backend of the appliance to run various tests.
Just send us an email at support@sophos.com and we'd be happy to look further or give us a call.
