On my ISP, all requests on port 80 or 8080 - and maybe some others - must go through the web proxy/firewall or not at all, but there's no way to configure this. Already reported this under the web proxy bug group, but I think this also affects the core because I can't get any search results, even with the proxy disabled - keep getting timeouts. If searching uses port 80 or 8080, this would be why.
If not, I'm not sure why - maybe it's because I'm running the broker on Win2000 on VMWare (because I couldn't build it on Redhat 7) on a dynamic "private subnet" IP address, but I don't see why that should be a problem - the broker correctly identified the need to use a relay, and is connecting to it and spending mojo on it.
The MojoProxy is being downplayed for now, but it does support proxy chaining if you need it to. It will chain to whatever the http_proxy environment variable is set to (in url form, ie: http://127.0.0.1:5865 would chain it to a locally running copy of junkbuster). It can also be told the proxy on its command line. the command line syntax is:
MojoProxy [port [full-path-to-intropage.html [next-hop-http-proxy]]]