That is normal.
For FireFox, if WebShield is active and a site you're trying to access is unreachable, you get "Document contains no data". Without WebShield, the message reads "The operation timed out when attempting to contact <server>". In any case, this should only be displayed for sites that are really down.
The difference is caused by the fact that Firefox handles proxy connections differently. There's not much we can do about that...
BTW IE always displays the same error message.