Login to SEPM
Go to Admin Tab
Select Severs from the bottom
Now highlight the server and and select "Edit Server Properties"
Enable the Check box "Authentication needed to connect through the proxy server"
and input the user name and password, if nothing is sent SEPM will try to use the proxy as anonymous user or will attempts to use the windows default "SYSTEM"
Note: when the enable the proxy here the home tab will display all the information like "threat Con level" and latest on manager version as well.