www.microsoft.com needs to be allowed by proxy? (linux)

We were unable to get the latest definitions.

mdatp connectivity test gave 

Testing connection with https://go.microsoft.com/fwlink/?linkid=2144709 ... [ERROR]
["(request #130)","Expected a 200 response from proxy, received: 403"]
Unknown error -1 (error code -1)

Looking at the proxy we could see a "403" after attempting to connect to www.microsoft.com, after reluctantly allowing it in the proxy, the test worked and we could also a new site being accessed (bold)

 TCP_TUNNEL/200 5270 CONNECT go.microsoft.com:443 - HIER_DIRECT/23.214.152.16 -
TCP_TUNNEL/200 5742 CONNECT www.microsoft.com:443 - HIER_DIRECT/104.95.181.163 -
TCP_TUNNEL/200 4957 CONNECT definitionupdates.microsoft.com:443 - HIER_DIRECT/184.31.224.252 -

the updates also started working. 

However the main point of using a proxy is to minimise the outbound, and I have just opened up www.microsoft.com. 

DO we have to open up www.microsoft.com.

Please do not reply if you are puzzled as to why we would not want to open this site.