Hi,
Hope you are doing well.
Benefits to having a Via Header is that it can help prevent Proxy Loops.
A proxy loop can happen when a proxy forwards a request either to itself or receives a request “back” from another proxy . The proxy keeps trying to serve the request and the process is repeated causing a loop. You want to avoid proxy loops as the request that keeps looping will cause a large resource spike on your proxy which can lead to performance problems such as the proxy failing to pass traffic. When the Via header is added to the request, the proxy (MWG) will be able to identify and end the loop.
Please refer below link for more information:-
https://community.mcafee.com/t5/Enterprise-Documents/Web-Gateway-Via-and-X-Forwarded-For-Headers-Pro...
We would need data to look further into this like connection traces.
You can remove Via header for this traffic if required.
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Regards
Alok Sarda