As of this writing (October 3, 2017), the most current version of SGOS is 6.7.2, the most recent version of WSS is 6.10.1.4, which does not support RFC 5077 new session tickets. This behavior was observed whether the configured proxy was a local proxy or a remote proxy (:8080). If the router or firewall does not allow the workstation to have direct access to the Internet, then the request will fail.
Here is a list of problems why the Kindle App for macOS does not work through the Web Security Service (WSS) or a ProxySG appliance: