I'm not sure there is anything that can be done at the server side. Looking at my connection to the server it's using TLS 1.2 which is the latest and AES_128_GCM and ECDHE_RSA, not really up on my my encryption protocols, but I think AES is fairly standard.
Looking at all the resources that get downloaded they all are from doc.rust--lang.org using HTTPS so no issues there.
Do you know what version of of Websense the proxy is running? It looks like they didn't add TLS 1.1 and 1.2 until version 7.8.1...maybe the server is refusing to communicate with TLS 1.0?