I should probably be answering a question, rather than posing another one, along the same line. I'd be interested to know if there is a setting, within the Exchange Setup, to set proxy. I would have thought that this would have been part of the wi-fi setup, at the bottom of the setup page where you enter proxy information. So you'd setup your wi-fi connection to access the internet through a proxy server, then when the Exchange client starts on the device, it uses the proxy information from that provided in the wi-fi setup. We've found that many of the apps (both home screen and from the Appstore) are not "proxy-aware"; that is, they were written with the assumption that you have a direct pipeline to the internet and thus choke when a proxy login is required. Our Exchange server is within our firewall so I can't test this.