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Unfortunately VUE does not support proxy configuration and we haven't had many requests for this functionality. It will be challenging to implement this since VUE relies on a number of non-standard data sources and libraries. So, your best bet would be to find a tool that turns your proxy into an "intercepting proxy" gateway so that it is transparent to the applications on your machine. Or, you can try configuring Java to connect to the proxy in the Control Panels. This may resolve your issue.
Either way, please do let us know if you figure some way around this problem.