I haven't actually used SFTP, but I've toyed with proxy settings on a variety of FTP clients.  You mentioned that your login is myUserID@remoteserver.com@localproxyserver.  Where did you get this from?  Proxies can be configured many ways, so you must be sure that your login string in Filezilla matches exactly what the Proxy server wants it to be.  I would expect that you'll need to provide your domain user/pass somewhere too (either in that login string, in a settigns box, or in a popup box when you connect), and I suspect that that's the part of the auth that's failing.  Maybe you can test this by providing a fake remote server address, to see if the external connection is even madde at all.  Sometimes the detailed logs/errors can provide hints as to which authentication is failing.

The  myUserID@remoteserver.com@localproxyserver format is used to FTP through the Proxy, the password is issued in response to a prompt.

Thi s format also seems to work to get to the proxy server and perhaps si even getting to the remote server, but I'm not sure.
 

Try a fake remote address to see if it still fails auth on the local proxy.

A fake address has the same result as a real address.

That proves it's a local problem, and nothing to do with the remote site.  So the problem definitely lies with how exactly you're authing on the proxy server.  Sounds like you need to talk to whoever administrates the proxy server.

I'm already working with the administrator, but they seem clueless which is why I'm here. Is the proxy looking for the keys because the protocol is SFTP? Maybe the question is how do I set up Filezilla to pass the keys to the Proxy?  It doesn't seem to be anywhere to set up the keys.