I've only noticed one reference on the message boards, with no decent reply's that deal with Proxy Chain Error 12206. Therefore, I did not find an answer
So, far I just have my external ISA going to the DMZ in place with out round robin or additional ISA servers. I can access the web and other machines in the DMZ with out fail. However when people try and access the web site from external sources they get the Proxy Chain Error 12206.
I have destination sets established for all the internal sites I wish to publish and have created web publishing rules for each of those.
I noticed that search engines are allowed to use the GET function to retrieve the robots.txt file but when access to an actual web site as in default.asp the error appears.
I have the external ISA interface mapped to the DMZ DNS machine and in-turn the DMZ DNS server has the external FQDN pointing to DMZ private addresses. Once fully established this will be a back to back setup. I'm just working on getting the DMZ part established first.