2020-10-04 16:48:22 INFO [p50266982-18953] - org.sonatype.nexus.proxy.maven.routing.internal.ManagerImpl - Initializing non-existing prefix file of newly added "CSS4J" [id=css4j]
2020-10-04 16:48:23 INFO [p50266982-18953] - org.sonatype.nexus.proxy.registry.DefaultRepositoryRegistry - Added repository "CSS4J" [id=css4j][contentClass=Maven2][mainFacet=org.sonatype.nexus.proxy.maven.MavenProxyRepository]
2020-10-04 16:48:23 INFO [p50266982-18953] - org.sonatype.nexus.configuration.application.DefaultNexusConfiguration - Applying Nexus Configuration made by vmassol...
2020-10-04 16:48:23 INFO [p50266982-18953] - org.sonatype.nexus.configuration.application.DefaultNexusConfiguration - Applying Nexus Configuration made by vmassol...
2020-10-04 16:48:23 INFO [pool-1-thread-1] - org.sonatype.nexus.index.tasks.UpdateIndexTask - Scheduled task (UpdateIndexTask) started :: Updating repository index "CSS4J" from path null and below.
2020-10-04 16:48:23 INFO [pool-1-thread-1] - org.sonatype.nexus.index.DefaultIndexerManager - Trying to get remote index for repository "CSS4J" [id=css4j]
2020-10-04 16:48:23 INFO [pool-1-thread-1] - org.sonatype.nexus.proxy.storage.remote.httpclient.HttpClientRemoteStorage - Initializing remote transport for proxy repository "CSS4J" [id=css4j]...
2020-10-04 16:48:27 INFO [pool-1-thread-1] - org.sonatype.nexus.index.DefaultIndexerManager - Cannot fetch remote index for repository "CSS4J" [id=css4j] as it does not publish indexes.
2020-10-04 16:48:27 INFO [pool-1-thread-1] - org.sonatype.nexus.index.NexusScanningListener - Scanning of repositoryID="css4j" started.
2020-10-04 16:48:27 INFO [pool-1-thread-1] - org.sonatype.nexus.index.NexusScanningListener - Scanning of repositoryID="css4j" finished: scanned=0, added=0, updated=0, removed=0, scanningDuration=0:00:00.055
2020-10-04 16:48:27 INFO [pool-1-thread-1] - org.sonatype.nexus.index.DefaultIndexerManager - Publishing index for repository css4j
2020-10-04 16:48:27 INFO [pool-1-thread-1] - org.sonatype.nexus.index.tasks.UpdateIndexTask - Scheduled task (UpdateIndexTask) finished :: Updating repository index "CSS4J" from path null and below. (started 2020-10-04T16:48:23+02:00, runtime 0:00:04.380)
2020-10-04 16:48:28 INFO [pool-1-thread-1] - org.sonatype.nexus.configuration.application.DefaultNexusConfiguration - Applying Nexus Configuration due to changes in [Scheduled Tasks] made by *TASK...
2020-10-04 16:48:28 INFO [ar-7-thread-4 ] - org.sonatype.nexus.proxy.maven.routing.internal.RemoteScrapeStrategy - Not possible remote scrape of M2Repository(id=css4j), no scraper succeeded.
2020-10-04 16:57:27 INFO [p50266982-18779] - org.sonatype.nexus.configuration.application.DefaultNexusConfiguration - Applying Nexus Configuration due to changes in [Public Repositories] made by vmassol...
And especially the part:
2020-10-04 16:48:28 INFO [ar-7-thread-4 ] - org.sonatype.nexus.proxy.maven.routing.internal.RemoteScrapeStrategy - Not possible remote scrape of M2Repository(id=css4j), no scraper succeeded.
So yes maybe the fact that it doesn't support dir index is an issue.