Hi Jason,
Yes, WSA supports NTLMSSP authentication in transparent proxy mode using WCCP.
With the problem you are facing, in most cases the issue is due to client machines cannot resolve the redirect hostname used in the WSA authentication.
You will need to modify your DNS record if the redirect hostname is not resolvable by clients. Redirect hostname can be found in the WSA authentication settings.
Hope this helps.
Thanks,
Donny
(*If you have received the answer to your original question, and found this helpful/correct - please mark the question as answered, and be sure to leave a rating to reflect!)