Yum Update Connection Times Out in Microsoft Azure

Issue

Default communication between an On-Demand Red Hat Enterprise Linux (RHEL) virtual machine (VM) and the Red Hat Update Infrastructure (RHUI) does not use a proxy server. Note the following quote from the referenced article:

The yum repository list, which is managed by RHUI, is configured in your RHEL instance during provisioning. You don't need to do any additional configuration: run yum update after your RHEL instance is ready to get the latest updates.

Reference: Red Hat Update Infrastructure (RHUI) for On-Demand Red Hat Enterprise Linux VMs in Azure

If proxy settings are added to yum.conf on a VM, the VM cannot receive updates from RHUI. The command yum update fails with the errors shown below.

Trying other mirror.
failure: repodata/repomd.xml from rhui-microsoft-azure-rhel7: [Errno 256] No more mirrors to try.
https://rhui-2.microsoft.com/pulp/repos/microsoft-azure-rhel7/repodata/repomd.xml: [Errno 14] curl#56 - "Network error recv()"
https://rhui-3.microsoft.com/pulp/repos/microsoft-azure-rhel7/repodata/repomd.xml: [Errno 14] curl#56 - "Network error recv()"
https://rhui-1.microsoft.com/pulp/repos/microsoft-azure-rhel7/repodata/repomd.xml: [Errno 14] curl#56 - "Network error recv()"

The connection eventually times out as shown below.

Could not retrieve mirrorlist https://eastus2-cds2.cloudapp.net/pulp/mirror/PA error was
12: Timeout on https://eastus2-cds2.cloudapp.net/pulp/mirror/PA: (28, 'Connection timed out after 30001 milliseconds')