Just a wild guess, but did you sync content to the smart-proxy?
With external content proxies, you need to sync content to them before clients can download packages. If you have not, under Infrastructure → Smart-Proxies, select your new smart-proxy and hit the Syncronize button. For an initial sync, it should not matter which option you pick.
If you have already synced and it still does not work, I would guess something in the sync went wrong. Check the sync task if it reports any errors.
