I can proxy https pages but without becoming the end point, in which case there is no MITM interception so to speak.
The dns servers redirect IWF listed names to a proxy server (possibly done even on the routing level for ip addresses to get round people using 3rd party dns servers), then the proxy server will either serve proxied content (probably a block page) or simply pass on the traffic depending on the url been requested.
So when I use my own squid server it can redirect https traffic and I get no certificate issues.
So basically a proxy in the middle can intercept the url, and if it passes it on, then the original host at the other end will receive it untampered, it will then send back the reply to the proxy server which passes it back to the end user, the proxy server will only see encrypted content tho and not know what it is, but it can still pass it back to the user.
From all this a block page I would expect to generate a certificate warning, but not any traffic that comes from the actual proper provider of the domain.
I am not entirely sure at the time of this post, if the proxy server only sees the domain or the full url of the https request as I think but not sure that https requests start only with the domain name and the url is requested after the handshake, but not entirely sure.