Simply put. Check Point is not into the proxy business.
It requires different technologies and a considereable amount of resources to do these things right.
So don't expect it to become part of a Check point firewall.
As I also do a lot with Blue Coat (now Symantec) proxies I have a good understanding of them and I my view it's not wise to combine these functions into a single device.
To be honest. I still prefer to do SSL intercept on the proxy and not on the firewall.
But in real life you will propably bypass SSL intercept for the traffic from the proxy and open up the rest so both the firewall and the proxy can do what they do best.
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