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Make sure you add the local domain name as *.domain.local in the IE exceptions list, otherwise the EMC won't connect back to the Server.
See here: http://exchangeserverpro.com/exchange-2010-certificate-revocation-checks-and-proxy-settings/

You need to be assigned permissions before you can perform this procedure. To see what permissions you need, see the "Hub Transport server" and "Edge Transport server" entries in the Transport Permissions topic.

To navigate to the WinHTTP context, open an administrator Command Prompt window, type netsh, and then type winhttp.

netsh winhttp>

You use the set proxy command to configure the proxy settings. You can type the command followed by a question mark to see the syntax for this command.

netsh winhttp>set proxy /?

This example specifies that HTTP servers and HTTPS servers are accessed through the proxy server proxy_server, except for host names that don't contain a period specified by the "<local>" argument.

netsh winhttp>set proxy proxy_server "<local>"

This example imports proxy information used by Internet Explorer by using the import proxy command.

netsh winhttp>import proxy source=ie

This examples uses the reset proxy command to reset the WinHTTP proxy to DIRECT.

netsh winhttp>reset proxy

Even if you aren't running a proxy server, we recommend that you use Netsh.exe to check whether a previous proxy has been set. By running the tool without arguments, this example shows the current configuration.

netsh winhttp>show proxy
You must restart the Microsoft Exchange Transport service and the Microsoft Exchange Anti-spam Update service after you have made configuration changes to WinHTTP.