We do test ArcGIS Explorer behind a proxy and it does work, but with the different environments and setups we have found some issues still persist. Even once a fix for the bug is complete, you could still experience #1 pending your proxy setup.
I can confirm that the forthcoming 1500 release addresses an issue relating to the use of ArcGIS Exploer behind/through a proxy server - the symptoms you are describing sound similar to the issue that has been fixed.It's also worth noting that if you have ArcGIS Server within your organisation that you are entitled to tech support for ArcGIS Explorer (since it's a client of ArcGIS Server).
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