If you setup a Jenkins instance behind a proxy, the configuration from Manage Jenkins > Manage Plugins > Advanced tab are ignored and are not correctly being used. The documentation in the proxy configuration help option states:
The value you submit here will be set as http.proxyHost system property.
Looking quickly at the source code I was unable to locate references to the http.proxyHost property being set.
I was able to workaround the issue by setting up the proxy settings manually via the startup arguments: