A user is getting an error while trying to connect to Rally Excel plugin 2.4.4. I have been able to get through the correct URL where we are not getting any Relay State handshake error but the proxy authentication is failing, so the next step would be to find out the correct proxy.
Rally does not have a proxy server that would be blocking this. This would be a proxy server on your network causing this. Please work with your internal IT team for further assistance on this issue.