Hey! Had the same issue last week. Turns out the program doesn’t save Proxy server settings in program unless you hit "Apply" before exiting. Also, some firewalls block the connection even if everything’s correct. Try disabling it temporarily to test.
If that doesn’t work, check out ProxyChecker (free tool) to verify your proxy is live.
If that doesn’t work, check out ProxyChecker (free tool) to verify your proxy is live.