Proxy for apps is not automatic. It is up to the app to retrieve the proxy settings from iOS and to use them. Apple (apparently) does not require App Store apps to honor the proxy settings, and so implementation in all App Store apps is spotty.
I am assuming (based only on your post) that Rhodes does not automatically apply the proxy settings or provide any way to retrieve them. Based on the Network documentation, it appears that RhoElements does have some proxy support. I can't comment further, since I don't use RhoElements:
Connecting through Proxies
Because the network module is protocol agnostic, it will not communicate through HTTP proxies to reach a specified URL. In order to determine if you are connected when sitting behind a proxy you should configure the network plugin to attempt to connect to your proxy on the appropriate port. A successful connection to the proxy should be taken to assume the device is connected to a network. When configuring your WAN connection bear in mind that the proxy settings defined in the RhoElements configuration file will take precedence.
If you want Rhodes to support this, you can submit an Issue with a feature request.
If you aren't using RhoElements, I think you will either need to provide a way in your app for the user to supply Proxy settings, or else write a small native extension to retrieve the proxy settings from iOS and then use those settings in your AsyncHttp (or Network) calls.