I can only recommend to check/ask with Realplayer, as long as there is no connection to the proxy. If you see the traffic is sent to the proxy port and it is still not working, let us know.
This problem is solved. For future references,I had to configure WinHttp on the affected system because the realplayer service (rpdsvc.exe) doesn't use the proxy settings.
We don't use Mcafee Proxy Client, so I don't know if is somehow a better solution when multiple machines are affected.