Hi Rodrigo,
To investigate the issue, can you confirm the following information?
1. Double check the URL to see if it is correct. From my test result, the error message will occur if we type a wrong URL.
2. Does the issue happen to any other computers in the same network environment?
3. Since the computer is behind a proxy, if you disable the proxy, will the issue persist?
Meanwhile, could you please check its settings?
a. Check if you have blocked the following URL and IP addresses:
SharePoint Online URLs and IP Addresses
b. Follow the article below to check your computer settings to see if the network connection of the sync client is blocked.
http://support.microsoft.com/kb/2637629
Please contact your admin if you cannot perform the steps above.
Regards,
Jim