Hi Vishnu,
The importance of proxy server, no matter of the adapter is to route your message through the proxy server instead of your PI server.
This is done for the security purpose and not directly expose your PI server to the external world.
For the error above, Network port of your proxy server must be opened to receive the connection from your PI server. Also if there is response coming back through your proxy server, then you need to allow the port of proxy server in your PI server.
Regards,
Nitin