Currently a REST API search or download request against a proxy repository will only work if the components are cached locally in a proxy repository.
For instance a request to download the latest snapshot jar for a GAV:
This will fail unless the jar is already downloaded into the proxy.
Retrieving the latest version of a component via REST API through a proxy is a use case we should be supporting. Possible implementations for this include implementing a remote search capability, or, specifically for Maven, using the maven-metadata.xml files to find available versions.