I understand what you are saying and I think this is the default behavior even with earlier versions. But lets say you are going to download.com and download a file. It will say redirecting to a download site, and then you will get a download message. In your mind you are browsing via http proxy with full virus protection. However when the redirection took place, the download was switched over to ftp and hence not protected by url filtering or anything.

That might be by design but why not just add a packet filter rule if it works as expected with regular proxy enabled. Wouldn't you agree? Atleast there should be some mention somewhere of this behavior.