Sigh... It is likely my code. Despite what the Release Notes probably still say, the latest version of MonitorURLs does not use a standard Python library to retrieve Web pages, but rather does it using a new library I wrote to allow parallel (asynchronous) reads -- meaning that the plugin can fetch from multiple sites in parallel, rather than sequentially as in the original versions. This improves performance and allows the plugin to finish quicker. (The same new library is used in the CombineFeeds plugin.)
As you might expect from this lead-in, my new library deals with a few special return codes (some redirects, etc.) but doesn't know anything about proxies.
Sorry, but I don't know when I'll have a chance to see about enhancing the library.
Taka, any other proxy suggestions? rssextender (formerly RSS Proxy) deals only with RSS 2.0 feeds, as best I can tell, so shouldn't be suitable for an arbitrary URL retrieval.
markmorgan, how about a version of MonitorURLs (in Perl or whatever) that will handle proxies correctly?