@DriesVda The proxy configuration in Configuration > Server Settings in the Lansweeper web console should be enough. The error The ServicePointManager does not support proxies with the https scheme points to an authentication issue with https, as that .net class does not support https by default. HBowever, using http should fix it, as you've tried, IF http is enabled in your proxy.
Even if user/pwd authentication is not used in your Zscaler proxy, there are other authentication methods that might be in place, such identity proxy or a client app. Best is to double check with your IT Security team about it.
If there isn't any authentication in place, and http is enable on your proxy, we should do a more in-depth troubleshooting. For that is better to open a support ticket: https://www.lansweeper.com/contact/contact-support/
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