If you get such a connection error for all new artifacts: m2eclipse uses an embedded Maven instance by default, not your external Maven installation. The internal Maven instance might not use the same Maven settings like your external one (e.g. %USERPROFILE%/.m2/settings.xml), which then might lead to the internal Maven instance not being able to connect through your proxy.
You can use the Eclipse preferences to add your external Maven installation and to have it be used for running Maven commands from inside Eclipse.