When you need to configure StreamSets Data Collector to use the internal proxy server for any requests, you can set respective Java system properties in the SDC_JAVA_OPTS environment variable in the libexec/sdc-env.sh file.
In this document https://docs.oracle.com/javase/7/docs/api/java/net/doc-files/net-properties.html you can find the Java system properties for the protocols you are using.