Hello,
Found myself in a similar situation in which proxy was ignored. Found that in the vsec.conf file the is a configuration that overrides the OS/SmartConsole proxy settings which must be set to 'true' named useSystemProxy. If set to true and the vsec controller is restarted this got the DC objects to start using the Proxy address.
[Expert@R81.10MDS:0]# cat /var/opt/CPsuite-R81.10/fw1/conf/vsec.conf
# ports for mgmt<-->Controller communications
wsPort=999
wsTaggerPort=1004
# delay time between GW update cycles
enforcementUpdateIntervalTime=10
# TTL (mins) for objects expiration on GW in case
# there are no updates from the Controller
enforcementSessionTimeoutInMinutes=10080
autoUpdateIntervalInSeconds=30
# max number of GWs to update concurrently
enforcementThreadPool=5
# If to use the system (Gaia) proxy when connecting to Data Centers.
# !! Enabling this will affect all Data Centers and can cause connectivity issues !!
# This setting is not relevant to Azure+AWS+GCP.
useSystemProxy=false