Vlad
This is a bit tricky as this is a company-managed system, so I don't have total freedom to tinker with settings (e.g.: I cannot disable said Forcepoint Neo proxy). But let me play around and see if I can find a way.
What I can tell you is these settings are in MacOS network settings -> VPN and filters, then in the lower part of the window there's an area called "Filters and proxies". In that space, we have an item of type "Transparent proxy" that simply checks every website requested by a web browser and allows/blocks the request based on a blacklist.
Other web browsers (Chrome, Safari, Firefox, etc.) correctly respect this transparent proxy unless you configure a different one in the browser settings (Firefox) or through an extension. But Orion doesn't seem to go through this proxy at all, as I can freely browse any of the websites in their blacklist.
As said, I'll try to tinker a bit and see if I can somehow create a test scenario, but I'm afraid I probably won't have permissions to change any settings in that pane.