I don't think there is any specific configuration for access, as i also use proxy to access play store. Try restarting your device and then connect it via proxy
I have the following scenario on my office:
When I use the connection "Wireless" in an open (unrestricted) access to google play, browser-based applications and works normally.
When I use the free "Wireless" with authentication via "proxy", now with the credentials stored on the wireless network (user, password, and port), access the pages via the browser works normally, but via apps (google play store) does not work access.
Is there any specific configuration for access?