Absolutely, we're not aware of any problem in the WebShield proxy itself (it's fully HTTP 1.1, 1.0 and 0.9 compliant, can handle SSL connections etc) but some apps simply don't adhere to the standards... or don't use the http protocol on port 80 at all (use a proprietary binary protocol, e.g. to trick the firewall into thinking that it's letting in/out http traffic, actually - this is the case with some p2p apps, for example).
Thanks
Vlk