I'm not aware of a requirement to specifically list sites when using the proxy interface on a Check Point security gateway.
If I do not configure the security gateway as an explicit proxy and navigate to www.teamviewer.com via a web browser the site is correctly associated with the rule:
If all I subsequently do is point the browser directly at the Check Point security gateway's proxy interface, browsing sessions to www.teamviewer.com are not matched by the rule that references the TeamViewer application. Herewith the log record from the subsequent rule which blocks Remote Administration category for everyone else in the network:
PS: We've been using Squid for 20+ years and are used to referencing a proxy on port 3128. We subsequently configured the Check Point Security Gateway to listen on this port as well. There are NO intermediary proxy servers between the browser and the security gateway.