Endpoint Protection 12.1 block my proxy

I connect to internet from proxy. Then I visited a site. From that site I got web attack with this norton notification Exploit Toolkit Website 4 attack..

BUT

Instead blocking that site, I got this log The client will block traffic from IP address <my proxy IP address> for the next 600 seconds

What's going on here?

I spent 1-2 hours figuring out why my internet suddenly disconnected and that's the culprit.

If I add my proxy IP to Exception settings, then all sites I visit will also be ignored...

Any solutions??