SWG: Web Filter database download issue

Has it ever worked? Then there might be a temporary problem.

If it's never worked, then probably you need to configure DNS or set up a proper default gateway to route traffic to the internet.

You can also run simultaneous tcpdumps on eth0 (the management) and 0.0 (all non-management interfaces) to try to figure out where the traffic is going and what ips it is using. Then you can check your firewalls to make sure this traffic isn't getting dropped.