[Q] Another pesky APN question.

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Hi everyone,

I just picked up a Rogers' HTC One X today for use on Bells network and everything has gone rather smoothly for my first time actually unlocking a phone for use on a different network.
I've run into a bit of a hiccup concerning my APN settings though. If I set them like everyone says to most things work fine but there are a few apps that don't seem to see the internet connection (ie: Steam and GolfLogix) but if I remove the proxy address from the equation everything works fine. Example:

Name: Bell Internet
APN: pda.bell.ca
Proxy: Not Set <--- instead of the recommended "web.wireless.bell.ca"
Port: 80
MMSC: http://mms.bell.ca/mms/wapenc
MMS Proxy: web.wireless.bell.ca
MMS Port: 80
MMS Protocol: WAP 2.0
MCC: 302
MNC: 610

(everything else not set)

So I guess what I'm trying to ask is:
Is this known to be okay or am I gonna get bit in the arse by Bell? What is the purpose of the proxy address and why would it be stopping certain apps from accessing the internet?

I had a similar problem with my Galaxy S2 and Cyanogen Mod but it had resolved itself one day out of the blue without me touching anything.

Edit: Doing some more research and it would seem that some people have removed the proxy setting on American carriers without any problems, but if anyone knows more feel free to chime in.