Many applications provide the ability to define explicit proxy settings, while some do not. In some cases, it is prudent to direct all traffic to a ProxySG appliance for filtering. Winhttp can be used to force all Internet-bound traffic to use the same explicit proxy setting.

To confirm that the traffic is not going through the proxy, a pcap from the proxySG would be able to show this.

Winhttp is a Windows service that can be used to route all TCP traffic through an explicit proxy. 

From the Windows command line (Run as administrator) use the following command to setup winhttp.

netsh
winhttp
import proxy source=ie

Note: This command will use the proxy configuration from Internet Explorer and use it for other software. Ensure that your proxy configuration in Internet Explorer is correct.

To confirm that the winhttp has been configured correctly with the right proxy settings, use the following command
netsh
winhttp
show proxy

To reset the winhttp proxy settings, use the following commands
netsh
winhttp
reset proxy

To verify the traffic is going to the proxySG, you will need to run a pcap from the proxySG.