If you ever need to use a proxy when updating / installing packages in msys2 you’ll have to set the following environnement variables, and put them i.e in your .bash_profile :
# .bash_profile example
# Note: username and password have to be url encoded in case they contain special chars
export http_proxy=http://USERNAME:PASSWORD@proxy:port
# or like this if not user/password required
# export http_proxy=http://proxy:port
export https_proxy=$http_proxy
export ftp_proxy=$http_proxy
export rsync_proxy=$http_proxy
# if you need a proxy ignore list
export no_proxy="localhost,127.0.0.1,localaddr,.yourlocaldomain.ext,.local"