Simon,
There were previous issues with Sharepoint prior to 6.3.3-015, please make sure you have the most recent Async OS version, then re-test.
If it persist, another option is ot bypass auth for such destination, since if could have failed auth if auth is required in your access policy.
You can exempt certain destinations from authentications by following the article below:
How do I exempt certain sites from requiring authentication?
http://tinyurl.com/4hgjkd