Some appliances have audit logs, that log every change in configuration. Does ProxySG have audit logs to record changes in policy?

The ProxySG appliance will log in the Event Logs when a policy change took place, what user updated the policy, as well as what IP address policy was pushed from. It does not log what the changes were.

Please note this is applicable to the appliance itself. Users who push policy via the Management Center product do have logs available for policy that was pushed from the Management Center.