Blue Coat Director will use ICMP to ping the ProxySG before attempting to connect to it. If ICMP is not being passed on the network, then ping will fail and the Director will not attempt to communicate to the proxies.
The resolution is to enable ICMP ping on the network. Currently there is no workaround for the issue. If you are not able to enable ICMP ping on your network, please contact your Blue Coat Sales Engineer (SE) and submit a feature request (FR) to have Director function without ICMP being enabled on the network.