The scenario is as follows:
1) Avast tries to read from the net
2) There is some connection error
3) The server is marked as inaccesible
4) Now it's looping to 1) until it runs out of servers (4 of them now)
5) Now it asks for setting the proxy, because it doesn't know why it was unable to connect to all of the servers (and suspects wrong proxy settings as the possible cause).
So, maybe your connection has some problems or our servers are too far from you, maybe you connect there in times when our servers are most used...