I think I got this one fixed, or at least worked around:
My problem seems to be that the downloader, although it has support for proxy (without authentication), and uses the IE settings, it doesn't seem to have support for the ProxyOverride option for local addresses.
Although I'm not really a coder, I did have a look at the source of nsisdl.cpp. At around line 230 is the statement that reads the reg proxy settings for IE, so I'd guess this needs a small addition to check if the address matches any of the strings in the semi-colon delimited value of ProxyOverride. i.e. addresses that begin with...
Knowing PHP a little and knowing that IE has support for wildcards in the addresses such as 192.168.0.* and the like, maybe some regex would be required?
Is this a feature that could be added easily to NSISdl?
My workaround is to temporarily disable proxy, download updates (they're located on a local webserver), and then re-enable.
I would be glad to help with testing!