I never really use up2date on the gui, I like the good old comand line. Try this to update your system.
1. Open a terminal window
2. Add the proxy to your session variable e.g.
3. type either yum update or yum -y update
The last command the -y argument means to say yes to all prompts, and will upgrade all the packages that require upgrading.
This should work, let me know if you have any problems.