I had the same question, and discovered how to make it work (at least in Windows)
You can set the HTTP_PROXY, HTTPS_PROXY, ALL_PROXY and/or NO_PROXY environment variables before running eM Client
The easiest and unobtrusive way is to create a script file called emClientproxy.bat
with the following content:
SET HTTP_PROXY="http://x.x.x.x:xx"
SET HTTPS_PROXY="http://x.x.x.x:xx"
SET ALL_PROXY="http://x.x.x.x:xx"
START "" "C:\Program Files (x86)\eM Client\MailClient.exe"
(Replacing the urls for the proxy)
and use it to launch eM Client
This workaround might work also on MacOS, but I haven’t tested it