Sent from IT support this morning. I tested this and can verify that it works. Might need to change target destination if installation path is different:
The launcher is not “proxy aware” in the sense that it does not know to check with Internet Explorer to see what proxy server it is using, it assumes it can send web traffic directly to the default gateway.
A bit of googling found that there is an additional flag to use when running the EpicGamesLauncher.exe that makes it check Internet Explorer for a proxy server, its happily running on my machine now.
To set it:
Right click the Epic Games Launcher
Replace the contents of the “Target:” field on the Shortcut tab with this text:
“C:\Program Files\Epic Games\Launcher\Engine\Binaries\Win64\EpicGamesLauncher.exe” -http=wininet