The earlier responses to this thread are incorrect. Posting this reply so others don't experience the same issue.
For resolving this issue, refer to OSS note 910918.
You need to add a line to the PRXYINFO tab as follows to allow all traffic regardless of network.
P SOURCE=* DEST=*
Value of P means "permit". This PRXYINFO tab is new following SAP Basis 7.40 release.
--Vince