Typically, when a tcp port is closed, a SYN packet will receive a RST (reset) packet as a response from the closed port. Some network appliances have settings to where instead of a RST packet being sent back, no response is given, and the SYN packet is discarded.

Is it possible to configure the ProxySG to ignore traffic on closed ports by not responding instead of sending a RST packet? 

The ProxySG does not have this configuration available.