You have to configure the connection under policy->settings->Authentification->User Database
you first have to set up an NTLM Agent authentication setting. Log on to the Web GUI, go to Policy, select the Settings tab and click Add. Now add a new setting as shown below:
Where I typed "pdc.securelabs.local" you have to enter the FQDNs/IPs of the servers where you installed the NTLM Agent Appplication to. Before you try to use the "Authentication Test", make sure you Save your changes, otherwise all attempts may fail.
Once the test works, the connection is established. You can go ahead and configure Authentication for your proxy users: