Exactly same problem as maleas, and I have it since before this thread has been started. Using wpad, update works fine if launched manually (user account, user IE settings). No dice for automatic updates (system account, whatever IE settings it uses).
My solution was to add some aliases to the proxy's hosts file. Something like this:
A.B.C.D download1.avast.com download2.avast.com download3.avast.com ...
E.F.G.H download11.avast.com download12.avast.com download13.avast.com ...
...
And explicitely allow those addressess on the firewall (no proxying for them). However the update servers are now using high numbers, such as download863.avast.com, which makes my "solution" almost impossible now.
Still waiting for a final solution for this.
Thanks.