Even without a proxy, API calls to Microsoft are throttled on their end. It might be something like one request every two seconds at worst (don't quote me on that). Hence a large environment can run into very long scan times...
This is just speculation, but if it is the cause in your case there is nothing that can be done on our end to bypass Microsoft's throttling.
Feel free to open a case if you'd like us to take a closer look at your environment!
