I'm not sure the problem IS a bug, or even related to SME 7, the proxy issue has been around for a while on v6 where some sites worked and others didn't unless the proxy was added to the Windows internet network settings! And with XP SP2, who knows what happens on port probes?
I was hoping someone had a configuration fix for this, without involving the development team. I'll report back if I solve the problem from the other side
Mike