Microsoft TMG and Autodiscovery including WPAD

Hi

We have setup TMG to Autodiscover using DNS, the WPAD file gets downloaded when I point browser to it, however if my Web Access Policy at any point require Users to be authenticated, the rule blocks the traffic. If I use Configuration Script it all works fine without any issues. I wonder if anyone came across that.

Just to add the WPAD DNS record is A-record.

Thanks