The rest of the site does pass its traffic through the system proxy settings. Its this one event that uses java which seems to access internet directly.
Unless you use upstream hardware to proxy, no, an application chooses its proxies, not OS.
That said, you should be able to configure java to use a network proxy in the
configure Java applet (search the start menu if you are in windows), under "Network Settings". If the applet you are running however specifically ignores the java and browser proxy settings however, you will not be able to force it to honor them unless you do so upstream.