PRUs are downloaded over FTP from ftp2.novell.com, after the initial HTTP connection to stella.tallysystems.com.
So you'll need both FTP and HTTP access through the proxy (from the ZAM Task server running the Manager / scheduled updates).
There have been authentication issues through MS ISA server if the ZAM server isn't a member of the AD Domain - but as soon as the ZAM server IP address is allowed unauthenticated access (still through the proxy) it was ok.
If trying to connect to the proxy on port 80 there is a bug when you manually set the proxy config in the Manager - there are 2 workarounds for this:
1) Clear the proxy settings in the ZAM Manager, and set them in Internet Explorer on the Task server(s) configured to download updates - test access to stella & ftp2 via IE (then ZAM uses the IE settings)
2) See TID3962277