Hi,
Fortigate is not supported, you can find supported proxies here:
http://www.symantec.com/docs/TECH219921
We did in depth testing with both proxy modes in Fortigate, but it is not 100% working.
There are issues on detection in HTTPS connections and forwarding authenticaton data to DLP as well. We notified Fortigate to improve their ICAP implementation.
Regards,
Barnabas