Modern attachment doesn't work when web proxy is used in Exchange Server 2019

Symptoms 

After you configure a proxy server in Microsoft Exchange Server 2019 by using the Set-ExchangeServer -InternetWebProxy cmdlet, the modern attachment feature doesn't work. If you send an email message that has a modern attachment in Outlook on the Web (OWA), the following event is logged:

From: Microsoft Outlook <microsoftexchange329e71ec88ae4615bbc36ab6ce41109e@contoso.com>

To: <the user who just sent out a modern attachment>

Subject: Your recipients couldn't be given access to the file <file name>

Body: The location where the file is stored isn't available.

The message was sent, but recipients might not be able to access the attachment.

Try opening the file <filename> and giving others access to it from its current location.

Resolution 

To fix this issue, install the following cumulative update: 

Cumulative Update 14 for Exchange Server 2019 or a later cumulative update for Exchange Server 2019