... and it's all set in the section I mentioned earlier too! Sooo, go to Clients, and highlight a group, then hit the Policies tab for that group, and in the upper-right area, hit the "External Communications Settings" link.
As I posted earlier, this is where you can disable/enable the Insight lookups, but is also where you can set the proxy settings for SEP Clients to use when performing Insight (two proxy tabs are provided, one for Windows and the other for Mac, and should not be confused with the proxy settings for LiveUpdate if enabled).
Hope this all helps.
#EDIT# Another option is to allow a bypass of your proxy for the Insight URLs, these were identified in the article in my earlier post.