First, you need to know what a web proxy does. Say you surf on the internet from your house and you access a website with your web browser, the website's owner *see you*, he knows your IP address, your country, your internet provider, etc. On the contrary if you use your web browser and run on your PC an additional little software like
TOR (named proxy), you will access this website but the owner will view an IP address that's not your own IP (you can test if it works on sites like
whatismyipaddress.com).
Finally, jSQL Injection works like a web browser, you can access a website through a proxy or not (see above for explanation), simply untick the Proxy checkbox if you don't use a proxy and you should get rid of the error.