When attempting plugin download/install with incorrect proxy settings, the process will complete without an error or message indicating that the plugin installation could not complete successfully.
An empty plugin file is created in the plugins directory.
The problem here is that some proxies are configured to return a nice looking error page that contains no useful semantic error. In that, this isn't a Jenkins bug (We may be able to detect this using a better connect check URL as I suggested on JENKINS-23654.)
However, this should not break plugin installs. Verification of the downloaded zip file is already filed as JENKINS-14616 though.