If you are using a transparent proxy where any outgoing connection to port 80 is routed via the proxy, then it should work. The Network Scanner uses a standard HTTP GET to obtain the latest version number:
GET /products/networkscanner/version.txt?ver=8.1.4&random=8125781 HTTP/1.1
HTTP/1.1 200 OK
Date: Sat, 14 May 2022 11:58:05 GMT
If your proxy is non-transparent, i.e. it requires a proxy server address to be set in apps, there is no way to configure the Network Scanner to use a proxy. It always uses a direct connection and adding proxy support would probably be too much effort for mere new version checks.