A newly released update to Azure Automation Hybrid Runbook Worker adds support for workers communicating through a proxy server. This applies to PowerShell and graphical runbooks.
You can verify that the latest version has been applied to your Microsoft Monitoring Agent installation by confirming that the following subfolder matches this version number: %ProgramFiles%\Microsoft Monitoring Agent\Agent\AzureAutomation\7.2.11136.0. To enable this feature, please refer to the documentation for configuring proxy and firewall settings.