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I think so, there is a config tool on the cloud connector you can specify a proxy and run a connection test, although it will run as an unauthenticated user, it doesn't support authentication based proxies, so we had to work on an auth bypass list, took a few passes but it works. I would highly recommend bypassing a proxy if at all possible. Proxy goes down or has a blip, you lose your environment

configure your proxy settings in IE and then run netsh winhttp import proxy source=ie for runtime services. From memory you cant use a pac file or wpad and If using a proxy it has to be an unauthenticated proxy. You also have to make sure the urls dont use ssl inspection. You are better off allowing the urls on the FW and going direct

I confirm no PAC and no SSL inspection. Unfortunately the proxy is necessary as it is currently the only way to allow high reliability internet output on multiple datacenters.