We have a requirement like the feature of TMG Web Chaining. for e.g Use accessing cnn.com using its default proxy MWG-A and sometime experience slowness. Can we configure it to forward to another proxy MWG-B or MWG-C which has a faster access.
not really sure if forwarding to another proxy would solve your issue. The feature we have in MWG is to send dedicated content to next hop proxy. But it wont decide to do so in case of overload. Additionally you could use Proxy HA for load balancing. Please check our Best Practice article if it suits your needs:
There will be a proxy HA in the data center the objective is each webgateway in branch office should be able to forward the request to the Data Center Proxy when experiencing slowness or as backup when theres ISP outage
Technically it sounds more as Loadbalancer functions I've seen by some customers not a proxy function. They pole external resourced and check the connectivity to. In case of slowness the Loadbalancer mark slow Proxy as down and reroute traffic.