Configuring Geoserver to use a proxy when accessing external services?

You need to set the http proxy variables either using a system environment variable or through a JVM property set in catalina.sh. There are detailed steps on how to do this on the WFS Store page.

In the past there have been issues with the HTTP COnnection pooling not picking up the proxy variables so if it continues to not work try unclicking the connection pooling box.