This issue occurs because the client is not receiving the FQDN supplied by the XML Service on the XenApp Server. In other words, the NetScaler appliance in DMZ1 was not able to perform a DNS look-up for the FQDN generated by the XML Service, which is behind DMZ2.

Collecting datetime Retrying (Retry(total=4, connect=None, read=None, redirect=None, status=None)) after connection broken by 'ProxyError('Cannot connect to proxy.', OSError('Tunnel connection failed: 407 Proxy Authentication Required ( Forefront TMG requires authorization to fulfill the request. Access to the Web Proxy filter is denied. I can't connect the internet, Error: cannot find proxy Dec 10, 2015 Could not connect to proxy server. Access denied - Tech Sep 05, 2009 FWPTT web load testing framework If you receive a message like this Could not connect to proxy server. Access denied than the proxy might not be running try pushing "Start Recording" again and reopen the page or the proxy configuration from your web browser doesn't match the recorder proxy configuration, please …

Error: Access Denied or The connection could not be made

This issue occurs because the client is not receiving the FQDN supplied by the XML Service on the XenApp Server. In other words, the NetScaler appliance in DMZ1 was not able to perform a DNS look-up for the FQDN generated by the XML Service, which is behind DMZ2. Troubleshooting Web Application Proxy | Microsoft Docs

Direct Access Troubleshooting: Failed to connect to domain

That is a problem resulting possibly from the proxy settings you are using in the browser, they seems to not be allowing the update of the photo album through your browser to take place, and therefore you will need to check the proxy settings in the browser and change them.