thanks for your help.
1. The other websites we use are not blocked by TMG's 'Blocked Web Destinations', so I have not tested creating exceptions other than for Craigslist.
2. We have a single TMG server on the Edge. We don't use NLB.
3. In IE9 I have tried 'Automatically Detect'. I've tried setting the Proxy Server directly. I've tried turning off all check marks. All three of these methods work with IE8, Chrome, and Firefox.
The TMG log clearly shows that TMG is blocking the IE9 traffic as if the exception rule does not exist. I'm confused why TMG works correctly for IE8, Chrome, and Firefox.
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