It means that the plugins manager cannot access its backend for displaying the list of plugins.
So in order to make the change permanent you can add the next lines to system.properties file (lives in "bin" folder of your JMeter installation)
http.proxyHost=your_proxy_host
http.proxyPort=your_proxy_port
https.proxyHost=your_proxy_host
https.proxyPort=your_proxy_port
if the proxy requires authentication:
http.proxyUser=username
http.proxyPass=password
if the proxy assumes your Windows domain account:
http.proxyDomain=your_domain
More information: