Under downloads you have a bootstrap,m that you have downloaded through browser?
Directories and files(cainfo.pem, cainfo-merged.pem) are generated by aex-bootstrap, after you have launched it.
As bootstrap internally uses libcurl to download files, hence I guess it faces same issue with bad proxy.
Take a look if your system have some curl specific variables defined, like http_proxy, HTTPS_PROXY etc.
Commands like set/env can help you to find these. Also take a look into /etc/profile if these are defined there. If you have these try to unset them and laucnh bootstrap again.
Thanks,
AndreiF