If you have set up the path to an automatic proxy configuration script in your system (IE for Windows) Oxygen XML Editor cannot detect this setting out of the box.
You can create a new folder [OXYGEN_DIR]\lib\endorsed in which you should copy two additional Java libraries: deploy.jar and plugin.jar. These libraries can be found in the folder [OXYGEN_DIR]\jre\lib if the application comes with a bundled Java VM or otherwise in the Java VM installation used to run the application.