Hi there, we found an issue in versions 5.0.0 and 5.0.1 of the Duo Authentication Proxy that affected Check Point VPN logins. As version 5.0.0 of the proxy was the then-latest release when you posted your question here, I suspect you may have been running into this issue.
The good news is that we corrected the issue in Authentication Proxy 5.0.2, released Monday 9/28. Please give that updated version a try.