Installer throw exception while using a proxy

[AritxOnly]

Sorry about posting issues on docs page

Have trouble running installer when using a proxy. While I am in China, many staffs need to be done via VPN and proxy.
The installer will throw exception ConnectionResetError:[Errno 54]Connection reset by peer when I turn off the proxy, and will throw exception "Unsupported scheme 'sock5'" when I turn on the proxy.
Any solution about that? The log file is attached below.

installer.log