We ran into the same issue and you can actually thank me for the 10.6.3 update that fixed the proxy issue in most cases. I raised bloody hell with Apple for this one. They were insistent that nothing had changed with SUS from 10.5 to 10.6 (which is obviously not true as you can now define where to store the updates right in the GUI instead of having to symlink it or find another way to fake it).
Then they proceeded to tell me that it wasn't supported from behind a proxy.
I asked for the documentation as such.
They provided me a 2 year old document for an old version of the server OS and a proxy condition that we didn't meet. (Authenticated vs non-authenticated)
So yeah, editing your plist file on the swupdate.sync.plist file should get you around by throwing in the proxy definition.
Full tech info is here: http://support.apple.com/kb/TS3099
Would kind of like my name on that tech note as I provided all the instructions to them but hell, I'm not fighting that battle…
Ug.
--
Jared F. Nichols
Desktop Engineer, Client Services
Information Services Department
MIT Lincoln Laboratory
244 Wood Street
Lexington, Massachusetts 02420
781.981.5436
