A lot of internal customers seem to face this issue since *.windows.net is not directly resolvable within corpnet. In this case you need to install Forefront TMG Client .
Another interesting case is when you deploy your web application which uses caching under an app-pool whose identity is a system account (like NetworkService, I think this is the default too), cache request/resolution might again fail. Looks like Forefront TMG client doesn't cater to non-domain accounts.
But there is a simple workaround : run ‘FwcTool /g /app:w3wp’
from TMG client installation folder. I believe this gives w3wp.exe access to network resources via TMG client regardless of account which runs the w3wp process.