Technical Tip: Application Control with Explicit Proxy policy error
Description
This happen because you are using proxy and you want to block your communication that it is through a proxy.

This article gives a solution on how to block proxies applications and not get an error.
Solution

If we do this, we can block the other Proxy Applications

So we cannot block all proxy application because we are using proxy. We need to allow proxy.http
Related Articles
Technical Note : FortiGate Wan Optimization and Explicit Proxy FAQs
Technical Note: Blocking communication to external proxy using the FortiGate explicit proxy
Technical Note: How FortiGate can block Duolingo in different ways. Blocks web application.
Wireless client load balancing
Technical Note: 'Deny: DNS error' and 'Deny: IP connection error'