We had done that and and ineed we can see the proxy policies. We can even see the proxy objects/addresses that were retrieved from the FortiGate and configure new proxy policies using existing objects. However, I can't see the option in the GUI to actually configure new proxy addresses. Admin guide for FMG also does not mention proxy addresses. There are all sorts of objects available like virtual IPs etc, but not proxy addresses.
The Fortinet Security Fabric brings together the concepts of convergence and consolidation to provide comprehensive cybersecurity protection for all users, devices, and applications and across all network edges.