As you surmised, it's likely related to the proxy server. If the autohijack software doesn't support proxy servers, then it doesn't have any way to connect to the web if you're behind a proxy.

That's one nice thing about the Microsoft Winsock Proxy Client software. It's a shim in the TCP/IP driver that re-routes calls through the proxy server, even if the client program doesn't support proxies. It's got its other drawbacks, but that's one nice feature it has.