Answer
When used on a Windows platform, the iTunes application will inherit IE proxy settings.
The extracts below from the network trace show that radio stations stream content on ports that are different from the standard HTTP port 80:
The Finjan default is to allow HTTP port 80 only. Consequently, additional ports must be allowed so that iTUnes radio stations can stream through Finjan.
According to the KB article provided by Apple - http://support.apple.com/kb/TS1629 - iTunes radio stations are meant to stream traffic on ports, 80, 8000-8999, 42000-42999. Data however, indicates that there may be stations using ports beyond these ranges.
When Finjan is set to allow all HTTP ports iTunes radio stations will stream content smoothly.
Global network security policy may differ between customers, so the decision is whether or not to allow all HTTP ports as shown in the figure below: