Typically when you have to specify the domain a backslash is used (I thought).
When you say it never makes it to the Web Gateway do you mean the browser never makes the request? I have seen that problem with IE doing that when an email address was used for the ftp username.
If I drop to a command line and ftp from there I have to put the username in using the forward slash /
When I say it never makes it to the gateway I mean IE doesn't seem to understand the formatting and I don't see anything logged on the Gateway.