PBI Desktop connect to Azure via Proxy

We've just set up an Azure Data warehouse and i'm making my first connections to this data.  Connecting to this Data Warehouse via Power BI service was fine.  Trying to connect via the Desktop is providing me with a timeout error.  From what I can see, Power BI is attempting to get to Azure directly, rather than through the Proxy Server.  Our Firewall is blocking this.

Is it possible for me to configure the Power BI desktop to make use of the proxy?  Should I be grovelling to our network guys to convince them to open something in the firewall?  What is best practice here?

EDIT:  Just to head off some questions. The firewall that is blocking the connection is the company firewall, not the Azure one.