However, I'm not sure where to start to check what the problem is and then how to correct it?

Contact your sysadmin? use ps ... among other OS specific tools to check to see if there is a firewall running, selinux ... ?? HTTP::ProxyAutoConfig - use a .pac or wpad.dat file to get proxy information

HTTP::ProxyPAC - use a PAC (Proxy Auto Config) file to get proxy info