Please refer to 000013574 (/articles/Solution/Socketconnecterrorwhendownloadingacontentfilterdatabase) to fix this problem. If the problem still persists, please check for the following causes:
1. The socket error occurs when the ProxySG is unable to connect with the content filter download server. Check the routing/network access settings on your ProxySG -- Verify that the gateway is configured correctly in the proxy and also make sure that the configured gateway is the right one to go out to Internet. If the gateway is a firewall, make sure that firewall is not dropping the packet during the content filter download and firewall has the correct rule to allow this traffic. Also, make sure that proxy is routing table especially the static routes are still intact. If the proxy configuration is installed from the backed up configuration, make sure that all the static routes are in place along with the gateway.
2. The same error occurs, if the database download link is incorrect. Verify that you have the accurate link for downloading the content filter database.