Here is the note I made:
How to get updates working when there is an upstream Proxy doing Deep SSL Inspection:
You will need to export the CA file from the upstream device and then add this to the ca-bundle.crt file in two locations on the Checkpoint Manager (assuming that this is where the issue is).
$CPDIR/conf/ca-bundle.crt <-- This is so that Application level updates can work.
$FWDIR/bin/ca-bundle.crt <-- This is so that GAIA level updates work.
Note this has been tested from a R80.40 SMS. However important to note that the file could change as part of upgrade or jumbo installation.
Additionally the above solution is not supported by TAC.