This makes sense if you are using a direct TCP connection and require your connections to go through a proxy server. This type of connection goes directly from the BlackBerry smartphone simulator to the destination server and does not use the MDS-CS Simulator. Direct TCP connections do not support the use of a proxy server.
You can try to manually use deviceside=false instead of ConnectionFactory to test this out. Or change the preferred order of ConnectionFactory to favor an MDS connection over a direct TCP one.
