Yes. This should not be a problem. The ActivTrak agent uses WinHTTP, so to configure it for a proxy use the following command on Windows 10, Windows 7 or Vista.
From a command prompt with admin rights, run something like
netsh winhttp set proxy yourproxyname.com
netsh winhttp set proxy 111.222.333.444:80 [replace 111.222.333.444 with your server's IP]
Type 'netsh winhttp' for help.
On 64 bit operating systems, you must use the netsh.exe located in the c:\Windows\SysWow64 folder
On Windows XP download and use Proxycfg.exe.
Future versions of the ActivTrak agent will have more options.