If you wish to configure Windows 2012 / 2012 R2 so that it will download MS Windows hotfixes in the background (over a proxy via internet, not via WSUS) you need to specify the proxy in the underlying system. This could be done via netsh winhttp:
1.) Run a CMD as Administrator
2.) To Displays the current WinHTTP proxy setting use:
netsh winhttp show proxy
3.) To set the proxy use:
netsh winhttp set proxy proxy-server="http=myproxy;https=sproxy:88" bypass-list="*.contoso.com"
