I don't think you used the workaround linked in ticket 4866. That ticket mentions downloading the template yourself manually, pointing FreeNAS to the template file and letting it install a file that is locally hosted on one of your own internal servers.
Hum, maybe I miss something but this ticket 4866 link to an url explaining how to set proxy setting in cshrc or using setenv command.
Before finding the ticket, I already tryied to install the jail template on a self hosted server and updating the jail configuration in the ui to point to this server.
But this doesn't seems to works for me as it seems that the VirtualBox jail try to use pkg_ng to download something, and there, again a problem with proxy.
But forgive for any error I can make, I am a real noob with BSD.
Thanks for helping me anyway.