RDP wouldn't require a proxy that I'm aware. I imagine you match the same config as mentioned here to set your ACLs (too many images and not enough text to copy here)
http://blogs.msdn.com/b/walterm/archive/2014/04/22/windows-azure-paas-acls-are-here.aspx
If you really are trying access for RDP check out the following. If just web access, the above should work.
http://www.cloudcomputingadmin.com/articles-tutorials/windows-azure/azure-virtual-networks-and-cloud-services-part3.html
As per
https://azure.microsoft.com/en-us/documentation/articles/virtual-machines-rdp-detailed-troubleshoot/
Source 3: Cloud service endpoint and ACL
To eliminate the cloud service endpoint and ACL as being the source of issues or misconfiguration for virtual machines created using the Service Management API, verify that another Azure virtual machine that is in the same cloud service or virtual network can make Remote Desktop connections to your Azure virtual machine.

If you do not have another virtual machine in the same cloud service or virtual network, you can easily create a new one. For more information, see Create a virtual machine running Windows in Azure. Delete the extra virtual machine when you are done with your testing.
If you can create a Remote Desktop connection with a virtual machine in the same cloud service or virtual network, check for these:
The endpoint configuration for Remote Desktop traffic on the target virtual machine. The private TCP port of the endpoint must match the TCP port on which the Remote Desktop Services service on the virtual machine is listening, which by default is 3389.
The ACL for the Remote Desktop traffic endpoint on the target virtual machine. ACLs allow you to specify allowed or denied incoming traffic from the Internet based on its source IP address. Misconfigured ACLs can prevent incoming Remote Desktop traffic to the endpoint. Examine your ACLs to ensure that incoming traffic from your public IP addresses of your proxy or other edge server is allowed. For more information, see What is a Network Access Control List (ACL)?.