I couldn't import a WSDL file, and I had the proxy set up correctly (we could see SoapUI making requests for the start page through it).
The problem was that my WSDL file had to be retrieved via
HTTPS (i.e.
https://soap.server.com/service?wsdl) and SoapUI seems to ignore the proxy for HTTPS URLs.
http://www.soapui.org/Working-with-soapUI/preferences.html#Proxy%20Settings%20Tab seems to hint at as much, describing the "Host" of the "Proxy Settings Tab" as "The
HTTP Proxy host to use".
If I put in the URL with [tt:1a0mqes7]http://[/tt:1a0mqes7] instead of [tt:1a0mqes7]https://[/tt:1a0mqes7] I could see SoapUI trying to communicate through the proxy, although it didn't work beyond that (obviously).