You can make a backup of a ProxySG Appliance configuration and keep it permanently by pinning it. By default, backups are not pinned, and are instead rotated out of storage after the maximum number of backups is reached (the default is 10).
For instructions on how to pin a backup, please select the Configuration and Management Guide (CMG) for the version of SGME that you are running. The CMG for Director is located at https://bto.bluecoat.com/ .
For SGME 5.3, please see Chapter 14: Backing Up Director and Devices; Section A: Backing Up Devices; Pinning or Unpinning a Backup in the SGME/Director CMG.
For SGME 4.x, please see Chapter 5: Configuration Management; Section E: Managing Backups; Pinning a Backup in the SGME/Director CMG.