GTA has problems while updating through a Sophos UTM/XG webproxy. Thanks to Phillips work, here is the list of the exceptions:
^https?://[A-Za-z0-9.-]*\.patches\.rockstargames\.com/ ^https?://[A-Za-z0-9.-]*\.prod\.ros.\.rockstargames\.com/ ^https?://[A-Za-z0-9.-]*\.device-metrics-us\.amazon\.com/ ^https?://[A-Za-z0-9.-]*\.cdn\.edgecast\.steamstatic\.com/ ^https?://[A-Za-z0-9.-]*\.master\.mta-v\.net ^https?://[A-Za-z0-9.-]*\.dsp\.mp\.microsoft\.com/ ^https?://[A-Za-z0-9.-]*\.mta-v\.net/ ^https?://[A-Za-z0-9.-]*\.rockstargames\.com/ ^https?://[A-Za-z0-9.-]*\.steamcommunity-a\.akamaihd\.net/ ^https?://[A-Za-z0-9.-]*\.steampowered\.com/ ^https?://[A-Za-z0-9.-]*\.google-analytics\.com/ ^https?://[A-Za-z0-9.-]*\.g\.doubleclick\.net/ ^https?://[A-Za-z0-9.-]*192\.81\.241\.100/ ^https?://[A-Za-z0-9.-]*\.akamaihd\.net/ ^https?://[A-Za-z0-9.-]*52\.95\.112\.20/
happy shooting! :-)