Since new version of U1 (4.0), it's been claimed that it can read OS proxy settings. But in my case it didn't. I have my network settings set to "Auto Proxy Discovery". And browsers, mail and other apps are working fine. I had to configure proxy settings for Dropbox manually (it has such configuration). But how can I configure U1 proxy manually? If it for some reason ignores Auto Proxy Settings.
It will read OS proxy settings on OS X, but does not work with Auto Proxy Discovery. If you set the system proxy settings manually, then they will be used. This is a limitation in the Qt library which Ubuntu One uses for accessing the network, and for constructing the control panel application.
There is currently no way to manually configure proxy settings for Ubuntu One specifically.