Proxy is not supported under HTTP transport. Change the transport to HTTPS and specify valid proxy information and try again.
A Customer where using Web Proxy to Access Internet and Local Sites, so we had the Proxy Settings bypass all local domain names:
But that wasn’t enough for Internet Explorer running on a Windows Server 2012 R2, we also had to add localhost into exceptions.
But why couldn’t we use the Web Proxy?
As the Error is trying to say it is trying to communicate on HTTP when using the Proxy, but WSMan doesn’t work with HTTP. Therefore we would need to change it to HTTPS and it is easier without any high amount of risk to bypass the Proxy for Internal Communication.
Microsoft have released an Technet Article for this error, but the Solution is to Contact Microsoft Support and Reference to that article. We tried that using Premier Support, and the solution is to bypass the Proxy for internal communication between Exchange Servers.
Also we tried using the New Stand-Alone Hybrid Configuration Wizard, and it showed the same error Message, but With better Graphics to understand where the traffic was interrupted. As shown below, but error on the Exchange Connection.