When using Windows Media player it is working without any issues.
A url which exhibits this issue is the following one:
On a slow internet link without a proxy you will see the same problem. With a fast internet link the problem is not there.Here are a few observations observed when comparing a packet trace for a direct connection and one when going through a proxy.
direct connection capture : the client is setting accelbw to a maximum value for 20sec duration and server responds with 3.5Mbps for 20sec duration
Client going via a proxy : 1Mbps accelbw for 10sec duration.
The difference in behavior and perceived better experience when going direct could be attributed to this.