@WinTechie
Unfortunately I confirmed that this is not currently an option with Storage Explorer and Storage Explorer doesn't support proxy auto-config files for configuring proxy settings. For more information you might refer to the troubleshooting guide.
For product feedback and feature requests I will refer you to our feedback forum. This allows the community to add their voice and upvote popular ideas. The forums are monitored and responded to by our product teams.
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Please don’t forget to "Accept the answer" and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.