In one of my previous jobs I was specificly encouraged (during introductory employee training) to use my work email for personal stuff, as all access to private email boxes was cut off by proxy servers. I wonder how many people fell for that.
If they are blocking access to private email, it probably because of a regulatory requirement (common in finance) that they absolute must monitor and record everything going in and out. If that the case, and they didn't make that clear, then that's of course bad.