Your JVM needs to be configured to use the proxy. Choose the "configure" button on your app, and add these under "Other JVM arguments":
For HTTPS:
-Dhttps.proxyHost=https://yourproxy.com
-Dhttps.proxyPort=443
For HTTP:
-Dhttp.proxyHost=http://yourproxy.com
-Dhttp.proxyPort=80