JCE explicitly forbids use of any proxy, i tell it in the doc. that's a security feature, otherwise a miner+proxy packed together could be turned into a botnet with ease.
Jyst FYI, im running one of my miners with JCE through xmrig-proxy with no issues, all i had to do is add --nicehash to the start command line.
Could you show me how are you running? im still having problems to connect to my proxy.