For our controls to work, all requests must return successfully. There is no built-in way of using proxies, especially for WebResource requests. Generally, the webresource requests should be excluded from the proxy configuration if possible.
In your case, what I can suggest is using the CDNs (for scripts, for skins and the built-in MS AJAX CDN) as much as possible to reduce the number of webresoruce requests to the absolute minimum. Note that some controls require webresources for other purposes - dialogs, spell checking, file upload and this cannot be avoided, so such features will not work for your setup.
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