Well, thats just sad. I just realised the issue, since i'm behind a proxy for the first time. I can accept that custom applications don't respect the global proxy settings, mainly because the devs did not think about it. But that core applications on a device "Designed with the internet at its core" (quote from maemo.nokia.com) like media player and application manager won't work behind a proxy is just insanely hilarious .
And if i have to read that its a Wontfix for nokia like posted in Bug 4781 it just pisses me off big time!