If the system needs proxy settings to browse the Internet, you need to apply the same settings to the Connect Agent service log on to ensure that system and crash information is available on Connect Agent server storage.
Run the command BITSADMIN in cmd.exe as administrator.
Restart the Connect Agent service.
For more information on BITSADMIN command, refer following links:
http://msdn.microsoft.com/en-us/library/aa362813(v=vs.85).aspx
http://myserverissick.com/2010/05/how-to-set-proxy-settings-for-the-localsystem-and-networkservice-accounts