I have the same problem where the sites are inspected even though I have a custom bypass application with a list of URLs using regex. The URLs still get inspected and break my connection.
My requirement is to bypass the following.
*.oms.opinsights.azure.com
*.blob.core.windows.net
*.azure-automation.net
*.ods.opinsights.azure.com
winatp-gw-cus.microsoft.com
winatp-gw-eus.microsoft.com
winatp-gw-neu.microsoft.com
crl.microsoft.com
ctldl.windowsupdate.com
events.data.microsoft.com
uk.vortex-win.data.microsoft.com
uk-v20.events.data.microsoft.com
winatp-gw-uks.microsoft.com
winatp-gw-ukw.microsoft.com
What are my options as currently, I can't give my organisation a working solution?