Sometimes DNS-resolvers do not return answers pointing to 127.0.0.0/8 for a (sensible or not) security reason - see e.g.
https://docs.netgate.com/pfsense/en/latest/services/dns/rebinding.html (there have been a few threads on that topic in the PMG forums...)
No Idea if your Windows 2008 does this or something similar.
You can also run a DNS-server directly on your PMG - that can help around such issues:
https://pmg.proxmox.com/wiki/index....edicated_DNS_Resolver_on_Proxmox_Mail_Gateway
It used to be that SpamAssassin (which would be the module that you're trying to configure just used the first DNS-server from /etc/resolv.conf - but I think that changed with version 4.0.0 (they reworked DNS-resolution quite a bit for that) - however I don't think I have tested this recently.
In general the concept is explained somewhat here:
https://en.wikipedia.org/wiki/Search_domain
for PMG the relevant part is the part on /etc/resolv.conf here:
https://pmg.proxmox.com/pmg-docs/pmg-admin-guide.html#_configuration_files_overview (the first entry is used to create the FQDN of your PMG)
more technical details can be found at `man 5 resolv.conf`