Horizon Client automatically uses proxy settings configured in Internet Explorer.
Bypassing Proxy Settings
Horizon Client uses the Internet Explorer proxy bypass settings to bypass HTTPS connections to a Connection Server host, security server, or Unified Access Gateway appliance.
If the secure tunnel is enabled on the Connection Server host, security server, or Unified Access Gateway appliance, you must use the Tunnel proxy bypass address list group policy setting in the Horizon Client Configuration ADM or ADMX template file to specify a list of addresses to bypass the tunnel connection. The proxy server is not used for these addresses. Use a semicolon (;) to separate multiple entries. This group policy setting creates the following registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\VMware, Inc.\VMware VDM\Client\TunnelProxyBypass
You cannot use this group policy setting for direct connections. If applying the group policy setting does not work as expected, try bypassing the proxy for local addresses. For more information, see https://blogs.msdn.microsoft.com/askie/2015/10/12/how-to-configure-proxy-settings-for-ie10-and-ie11-as-iem-is-not-available/.
Proxy Fail Over
Horizon Client supports proxy fail over with the Use automatic configuration script setting under Automatic configuration in Internet Options > Connections > LAN settings in Internet Explorer. To use this setting, you must create an automatic configuration script that returns multiple proxy servers.