Roi,
In my experience, proxy issues can be difficult to troubleshoot, but, at the end of the day, everything should work. This probably wont help you, but just in case someone else comes across this with a long-running process, there is a timeout you can set:
esriConfig.defaults.io.timeout
Each request through esri.request is allowed up to 60000 milliseconds (i.e., 60 seconds) to respond. If no response is returned or a server-side error is returned, the esri.Error and error back handlers are called, in that order. (As of 1.3) Default: 60000 milliseconds |
If you haven't had a chance to read through the following, it may help you get on the right track:
https://developers.arcgis.com/javascript/jshelp/ags_proxy.html
Setting up a Proxy | Support Services Blog
Also, make sure you are using the latest version - this has helped me resolve issues in the past. Additionally, you can try debugging the proxy c# app, too - I found a bug and added some handling when I was using an older version a few years back.