If only strager would stop suggesting useless advice for these kinds of things. It is clear that your proxy setup is causing the problem. osu! does not support connections made through a proxy server, as it uses protocols that are outside the standard http domain (therefore I don't see the need to support the few services that don't rely on bancho). I realise there are SOCKS proxies still out there, but they are so few I don't feel the need to support.
(also you are the second person to bring this up in two years).
https://osu.ppy.sh/forum/t/19503