It's apparent default behaviour is to attempt a TCP connection to port 80. Which is going to fail in the vast majority of cases. Apparently it looks for proxy information in HKLM\SOFTWARE\SMART Technologies\SMART Board Software\ProxyInformation. Which the app itself cannot manipulate (Possibly they never though to use the settings controlled by the "Internet Options" control panel.)
I've tried twice to get an explanation from SMART as to exactly what registry keys are required to get their program to use a proxy. The second time they managed to completly miss the point that the problem is specific to their app.

