Hi AJ,
Do you want to make WSUS 2012R2 update itself from Microsoft Update with Proxy set between it and the Microsoft Update Servers?
If so, on the WSUS server, just configure it to update from MU, as for the Proxy settings, it's depend on the Proxy's vendor.
Here is the related firewall settings for Windows Update for your reference:
https://technet.microsoft.com/en-us/library/bb693717.aspx?f=255&MSPPError=-2147217396
Best Regards,
Anne
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