First, make sure the steps you are taking to enable the features are according to the VSX Admin Manual, quoting:
To enable Application & URL Filtering Categories on Virtual Systems:
- If applicable, configure proxy settings for the VSX Gateway (VS0):
- In SmartConsole, from the view, double-click the VSX Gateway (VS0).
- From the navigation tree, select .
- Configure the proxy settings, and click .
- Enable Application Control and URL Filtering on the required Virtual Systems.
Note - You do not have to enable them on the VSX Gateway (VS0).
- Install policies on the relevant Virtual Systems.
For more about Application & URL Filtering, see the R80.10 Security Management Administration Guide.
For more information about these Software Blades on VSX Gateway, see sk106496 and sk79700.
Make sure VS0 can access internet directly and can perform internet facing DNS requests (Step 1 above).
Also, where do you see the messages you mention? When installing policies or in SmartViewMonitor? Check sk93338 and make sure all steps in the SK are covered.