Which is why I've always held "Exceptions" in extreme contempt and won't put them on my system wherever possible.
Antivirus exceptions - zero - except for machines that can see the underlying VM storage folder with huge VM images, which I exclude because the machine has antivirus, and the VM's inside it have antivirus, and if you can write to the underlying VM storage folder, I have bigger problems anyway.
Web filtering exceptions - er...no. I work in a school so I might classify your site as "pupil" or "staff" instead of whatever default is chosen, but I won't "just exclude". Because every time I've been asked to do that, it includes things like the entire Amazon EC2 range. And if I say "No, honestly, it's excluded" then you always find out that the "problem" was somewhere else anyway.
Recently had this with my print vendor who have this billing tool that talks home to them. It needed all kinds of proxy exceptions and bypasses. So I just installed it. Done. They even say "it doesn't support proxies", which is weird because there's a box to put the manual proxy information, which works perfectly. The fact that the software itself falls over once a month is neither here nor there, apparently, though. But it has nothing to do with web access or proxies (because it has a "test" button that works, the logs show it has comms, and what falls over is actually the local machine's SNMP browser).
Sorry but "make an exception for us" is code to me for "lie and pretend that you've done it".