I have done the setting for proxy server on my Galaxy S II. It works for internet browsing only. Other applications that use internet, do not work. Anyone has got that working?
It's up to the app to fetch the proxy settings from the system prior to making the first connection. If a app does not do this and your local firewall prevents outgoing connections without the proxy, it will not work.
You should contact your app developer about this problem and ask him to fix this.