You wont get an error connecting if the firewall/proxy service is configured as a black hole. Basically, instead of TCP reporting Closed/No Service, it doesnt report anything, no NACK, no ACK, nothing.
This configuration is alot more common than you think. From the outside, PFSense does this automatically as a standard configuration when you port scan from the outside.
However, from the inside, most people use McAfee Web Gateway when it comes to schools anyways.