What type of authentication does the proxy server have? Is it Basic, Digest or someother authentication?
Currently, support assistant supports basic and digest based authentication.
You can try to do a ping from within the support assistant virtual appliance console and see if the vCenter server is pingable from it.
Try to do a wget https://your-vcenter-ip and see if the proxy server is getting resolved properly. You should be able to see something like "Resolving your-proxy-server", then "Connecting to your-proxy-server|proxy server IP|3128... connected" etc.
Please try to see if you can try with a non authenticated proxy as well if possible and see how it goes.
Thanks,
-vijay