You have to remember that when subscribing manually, it's only your iTunes application which is doing this - the Store is not involved at all. When submitting, the Store software checks the feed as a technical check before its assessed for content by humans; but how this is done and what sort of call is made to the server is another of Apple's dark secrets.
You're the third with a similar situation in the last couple of days, and I've seen this arise before: though the specific message about a proxy server is unique to you. (A proxy server would act as an intermediary - anyone accessing the feed would ask the proxy for it, and the proxy would retrieve it from the actual server and pass it back, masking the original server's URL in the process. Whether this is actually what is going on is obviously something only your server technicians can say - and then there's the question of what is different about a request from the iTunes Store.)
If all else fails you could place the feed on another server and try again - you could do this and leave the episode media files where they are, they don't have to be on the same server as the feed, as long as the server in question can handle 'byte-range requests' (which is a quite separate can of digital worms).
