The Java application that has been installed in the client machine might be causing this issue. Occasionally Java does not honor the exclusion list even after the IP address is added to the exclusion list.
To check if the Java application is causing the issue:
Go to Tools > Internet Options > Connections > LAN Settings > Proxy Server>Advanced
Add the ProxySG IP address to the Exceptions section: Do not use proxy server for addresses beginning with.
Enter the Java control panel and check the option Enable Tracing and Enable logging as shown below.
Attempt to access the Management Console.
If you receive a debug log similar to the one shown below while accessing the Management Console, switch the Java configuration to a direct connection instead of using browser settings.