Hey lawrie,
Most probably they have a keylogger installed on your machine
They will know ur habits what ever you do, with or without proxy
They may not come to know immediate, but when they check logs, they will block that too
most probably they also may be getting screenshot logs of your system
Actually thats what I do after market hours
Install Keyloggers for employers to catch people like you
PS: Take care.....your passwords may also be at stake