If you are using a transparent proxy (Web proxy > Authentication > Manage policies), ensure HTTPS is set to on, this ensures that traffic to secure sites is redirected to the web filter, see our help topic, Managing authentication policies.
It might be that decrypt and inspect is not enabled for the site in question. Check the categories on the HTTPS inspection Manage policies page, see our help topic, Managing HTTPS inspection policies.
The site might be in the Transparent HTTPS incompatible sites category. Use the search tools on the Categories page to check what categories a site is part of, see our help topic, Creating custom categories.