Hello,
we installed 2 new Windows Server 2019 Core Edition for Exchange 2019.
It is not possible to get Microsoft Updates through a Proxy. The Update Service ignores the global proxy settings and tries to connect external IPs directly.
Another Windows Server 2019 with Desktop Experience is downloading Updates without any problems
We tried
netsh winhttp set proxy = <IP of Proxy>:80
We also tried to set manually the proxy in the User Part of the registry without success.
The Core Server is using the proxy to get a list of new updates.
But when we try to download the updates, the server is ignoring the proxy settings and tries to connect to external servers (and this is blocked by the firewall)

Thankyou for help and kind regards Boris