I have the same issue. On my DR server, it is working correctly but on the production server I get the same message as you. I upgraded from version 4.0 Patch 4 and it was not working there either. I have tried different proxy settings but no luck. The only difference between the two servers is that the production server is clustered.
Does anyone have any other ideas?
I think you need to take a look at the proxy logs as well, if all else fails. Is that available to you?
Also, please check the orion.log I've seen cases when this log contains entries for failed AvertAlerts operation.