You can't set up the HTTPS proxy without using a cert... That cert can be the demo one shipped with the box or one from your environment, but it has to have a cert. Your workstations have to either trust it manually or you have to deploy it some how so its trusted (if you don't they will always get cert warnings).
If you're not using the HTTPS proxy, then yes, all you get is category based url filtering, web reputation for the https traffic. Http traffic will still get AVC, Anti Malware, etc...
