I installed Power BI Gateway, way-back when there were two separate installers for Personal vs Enterprise and managed to get it working through our proxy, by setting the <defaultProxy> etc in the appropriate config files.
So now I'm installing the current (non-personal) version, freshly downloaded (3000.2.47).
I've updated the .config files for the Configurator and the Service itself, switched to using HTTPS only for the Azure Service Bus.
But I can't for the life of me get it to connect to the Azure Service Bus during the Diagnostics | Network ports test.
I've run NetMon and can see that the connections from the Configurator are using the proxy.
And I can see some of the connection from the Service itself are also using the proxy (connections to dc.services.visualstudio.com).
But all the connections to *.servicebus.windows.net insist on trying to connect direct, which just won't work on our network.