Specifically, can you advise if and how you have setup the SWG authentication?
Presumably, the LDAP part of it must be configured in order to allow you to target LDAP workgroups with your policies, but can you please check:
- you have a correctly configured Authentication policy
- that your users actually do authenticate
- how your SWG authenticates your users (NTLM/DCInterface)
We should be able to better advise you how to investigate once we have more info.