No live user displayed for Intercept X Advanced for Server

Did this ever work? 

I don't know. We have only recently started applying some firewall rules that require specific users (and therefore found out it wasn't working).

You need this to get this working: https://docs.sophos.com/nsg/sophos-firewall/18.5/Help/en-us/webhelp/onlinehelp/AdministratorHelp/Authentication/SophosAuthenticationForThinClient/SATC/AuthenticationSetupSATCUsingEndpointProtection/index.html#set-up-satc-on-a-windows-server-through-the-registry

Thanks LuCar Toni that's the info I needed and can confirm that it is now working. Not sure why the Server version should be so different.

I'm also a bit surprised that this question hasn't come up before but I spent quite a bit of time searching the forum and didn't find anything.

As a tip for anybody who needs to do the same and comes across this post, I would suggest you add 'local service', 'network service' and 'system' to the excluded users or you end up with a lot of recurrent authentication failures in the authentication log.

The format for the reg entry is:
reg add "HKLM\Software\Sophos\Sophos Network Threat Protection\Application" /v SatcExcludedUsers /t REG_MULTI_SZ /d "network service"\0"system"\0"local service"