List of VPNs that do not work with Proxyman/CharlesProxy/Fiddler
Sophos doesn't work with all Web Debugging Proxy apps. It's a known issue from Sophos and there is no solution to fix it.
Please try to ask your Security Team to try to set the HTTP/HTTPS Proxy from Sophos.
Update: Sophos 10.0.4 (A/V Endpoint Protection) might work with Proxyman with a new network proxy extension, but it has a known issue that causes massive CPU Spikes. It's going to fix in the upcoming EAP.