What I suspect is happening is that AV/IPS cannot see there's something to block until well after the connection is established (almost over in the case of AV).
As we are past the point of being able to inject any sort of redirect at that point, it's not possible for us to inject a UserCheck page.
As a result, we just drop the connection, which I assume the client proxy then picks up as an issue and displays its own page.
With an Anti-bot reputation, we can check that before a real connection is established and thus display a UserCheck page to the user.
The comment I was going to make about proxy.pac file is to make sure that connections redirected to the gateway itself are not sent through a proxy, which may already be happening.