"Thanks, I will try that, but will it resolve the issue or just give me the correct logs ?"
In initial post you mentioned that rule that permits traffic has URL category in it.
Thing is that Palo can't identify URL category based on first packet.
Assuming that traffic is pure HTTP then Palo can identify application based on 5th packet (in case of HTTPS URL is retrieved from SNI on the cert).
SYN (client to server) SYN ACK (server to client) ACK (client to server) HTTP GET (client to server)
WEBSITE DATA BACK TO THE CLIENT <<< this is where Palo identifies traffic as web-browsing. (server to client)
So initial 4 packets need to be permitted through by some rule and in your case you see it in logs because you have log at session start checked.
If you don't want initial TCP 3way handshake to match some random rule you can add before any outgoing rule this nonsense rule that in reality would never permit pings (because ping is ICMP protocol) but it would log all TCP 3way handshakes under single rule name so you can run reports against it etc as needed.
Adjust it according to your needs as it is very broad permitting outgoing SYN sent on any port (you might want to limit it to 80 and 443).
"Wont enabling Log at session start cause more load to cpu for the explicit Deny rule."
You already have log at session start checked. You need to uncheck it to see logs correctly.
I assume it based on session end reason being "n/a" for those logs.
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