We would like to know the requirements about proxy using with Security Gateway. In this case I suppose One Agent -> Security Gateway -> proxy -> SaaS Cluster.
The communication between Dyatrace managed cluster and Mission control requires follows. We would like to make sure that the similar requirements are not needed, just in case. While if other requirements exist, we would like to know that.
Communication between Dynatrace Managed clusters and Mission Control can also be routed via a proxy, but the proxy must allow web sockets and, if the proxy is clustered, it must provide sticky sessions for web socket communication. Also, the proxy must support the SNI TLS extension.
I have already referred the document, but could not find any description of that.
Nothing special is required. The proxy must allow the CONNECT method to establish connection to SaaS Cluster. Since you mention SaaS, the gateway is connecting to 443/tcp using TLS1.2 in this case. So any proxy allowing TLS connection to the SaaS IP addresses to port 443/tcp will be ok for the gateway or for agents (in situation agent -> proxy -> SaaS cluster).