Hi, Julien.
Sorry, missing your point perhaps. How exactly the proxy is involved in all this? Perhaps you could draw a diagram, explaining the situation?
If it's your users (i.e. a person using web browser on their personal machines) who need to access the Internet via proxy, this doesn't have anything to do with Gluu Server (which is running in your internal network, I suppose). In such case, it's a system administrator's basic task (pushing some proxy connection settings to user's machine etc). Our Community support only covers tasks directly related to our own products.