I stand corrected. I don't know what I was thinking when I answered.
As @Web C demonstrated, The DNS server returns a number of IP addresses with different IPs and in a different order. The client (in this case the SG) will use the first entry in the list unless it becomes unreachable, in which case it would use the next address in the list. This works as long as at least one of the addresses is available. If all addresses in the list become unavailable, the SG will return an exception to the requesting user. This exception will continue as long as all addresses in the list remain unavailable and for the period of the DNS TTL (yes ProxySG honours the TTL). After the TTL or when the DNS entry is manually deleted in the SG, the next request for the domain will force a new DNS resolution. If the DNS server returns different addresses than before and at least one is available, then the request will be successful. Same goes if the addresses remain the same and at least one is available again.
In the case of download.mozilla.org, I always received the same three although I can see in @Web C's post that they use more than the three I get. Most likely they have a global DNS load balancer that distributes the addresses base on GEO location of the requester. So, when I blocked all three addresses at my FW, I always received an exception. Even after deleting the DNS entry and renewing it. As soon as I unblocked one of the three, requests worked again.
Once again, sorry for the confusion. I should have tested it before responding. ;-)