I don't think that's something that can be solved by changes on xwiki, since your access to the feed (if I understand you right) is configured with a proxy. 
XWiki feeds out on a local server should work just fine though, provided you can access the server.
 
Feeds coming in from external sources when you need a proxy to access the internet (eg BBC, The Register, etc), is a problem though.

From: users-bounces@xwiki.org [mailto:users-bounces@xwiki.org] On Behalf Of HERICHER Benoit DSIC BUA
Sent: 01 February 2008 08:04
To: 'users@xwiki.org'
Subject: [xwiki-users] Idea for improvment of Xwiki Watch

Hi!

I try to use Xwiki Watch, but I can't get the RSS reader working correctly. If I have well understood the different posts on this mailing list, this is due to the fact that I'm behind a proxy : is the support of this configuration planned for a future release of Xwiki Watch?

Thank you

Benoît HERICHER