The link above did not resolve the issue.
Thanks for the reply but unfortunately this did not resolve the issue.
Further more to this, if I copy the location that Sophos UTM is reporting to be blocked and put it into a Internet explorer page I can browse to it.
I have created exceptions for 127.0.0.1 and this has not resolved the issue.
If i turn off the option to detect my settings automatically it will work but then internet browsing will not work.