Please, note that how exactly the Pulse Secure Network Connect 8.3 works, is out of my scope. With this said, let me answer your question with my best assumption:
What could prevent the proxy from working while on the VPN?
Usually, when you connect to a virtual private network, all your network data are transferred through the VPN connection to the remote network. In simple words, you are "moving" (virtually) your computer from your local network into the remote network through the VPN connection.
However, your phone is still connected to the local network. Now your phone and your computer are in two different networks. I believe that there is no routing (visibility) between the two networks and there is no way for your phone to communicate with your computer.
I hope that this answers your question.
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