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 http://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 http://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 http://www.microsoft.com. 

DO we have to open up http://www.micrsoft.com.

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