Hi, This is a typical issue with the proxy. You have to add the websites for your AV in the whitelsite.
The same issue does apply to microsft updates. make sure to include it as well.
Here what I had to add to get the microsoft backups to make it work
*windowsupdate.microsoft.com
*.update.microsoft.com
*.windowsupdate.com
*download.windowsupdate.com
*download.microsoft.com
*.download.windowsupdate.com
*wustat.windows.com
*ntservicepack.microsoft.com
*.ws.microsoft.com
*.microsoft.com
*.windows.com
In most cases when websites fail with the proxy adding the domain to the whitelist will resolve it.
Good luck