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Yum through a proxy

I have configured yum to use a proxy via the yum.conf file by adding:

proxy=http://myproxy.com:8080/

What I noticed when running yum check-up date is that some requests are
going through the proxy while the system seems to be trying to resolve the
domains of other hosts in the repo and trying to establish direct
connections to them instead of going through the proxy.

Can anyone explain this behavior?