I haven`t found anything useful,so far.Spybot 2.1 is too new to me,and I don`t know where to look to find info on what it is using to connect.
If you go to Advanced User Mode,Update,it has configure Proxy on the side,which takes you to the page I mentioned above.I assume since it is there,maybe you have to configure the proxy within Spybot to get updates even though your Internet Connection works otherwise,though that is nothing short of a wild,vague guess on my part.You did add your proxy info there?