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The issue usually happens on a Windows MultiPoint Server 2011 (MS Windows Server 2008 R2's Remote Desktop Services base) when Remote Desktop IP Virtualization is enabled. The Remote Desktop IP Virtualization is in conflict with TMProxy because it does not support the said feature. The Remote Desktop IP Virtualization feature stops TMProxy from getting the redirect connection.
In Windows Vista (and previous OS), Trend Micro implement content scanning via redirect connection to TMProxy.
For Windows 7 (and later OS), Trend Micro implemented content scanning to not use redirect connections.
To be able to connect to the Internet, you need to disable Remote Desktop IP Virtualization.
If you need to use Remote Desktop IP Virtualization, we suggest using a Windows 8 base OS.
For more information about Remote Desktop IP Virtualization, refer to the Microsoft Knowledge Base article: Configure Remote Desktop IP Virtualization.