If proxy settings work correctly for Internet Explorer, Windows Defender
should use them. However, some seem to find this does not work.
However, there may be a bigger problem. Windows Defender updates via
AutoUpdate within the application, or Windows Update (or Microsoft Update)
manually.
If AutoUpdate is routed to a centralized server on your network--SUS or
WSUS, Windows Defender will look there (and only there.) for signature
updates. The updates are offered via a new class which must be approved by
the administrator, on WSUS. They are not available via SUS.
If you can reach WindowsUpdate from your machine, you should be able to
update Windows Defender Signatures that way.