I don't know what's a forum-proxy issue and what's an initial-host issue, but those images are stored on our server which currently only has a 1Mb upload connection. We're looking to improve that in the near future.
Browsers nowadays like to make as many simultaneous requests for images as there are images on the page (this is stupid IMO). So all of your images are downloaded at once via the proxy, but your connection isn't fast enough to deliver everything before the proxy times out after a few seconds. Not being able to serve this much data quickly enough is understandable, but it still causes issues. The problem is that browsers can wait forever for servers to respond, so they're fine with issuing even hundreds of connections at a time, but the forum's server cannot wait. Each proxy connection takes up resources, so it must complete quickly. I'm not really sure how to fix this.