Can't connect at all

Hi there guys,

Short version: following the Viking demo, doing everything required step-by-step, still doesn't allow me to connect.

Long version:
I'm trying to do the most simple tutorial of all - The viking one (https://doc.photonengine.com/en/pun/current/tutorials/tutorial-marco-polo#_Toc317517585)

So, if I'm not mistaken, all I have to do is load an empty scene, import the asset (https://www.assetstore.unity3d.com/en/#!/content/1846), follow the Setup Wizard (done that), check 'Auto-Join Lobby' and build the project, as well as running in the Editor.

However, any connection I try to make, no matter if it's the standalone or the editor, gets stuck on "Connecting to Photon Server. Hint: this demo uses a settings file and logs the server address to the console". Nothing is found in the console.

Tried the same thing with importing https://www.assetstore.unity3d.com/en/#!/content/1786 in an empty scene, but any demo I try to run hangs on "Connecting.."

What am I doing wrong? The only thing I can think of is the fact that I'm at work behind a web proxy, not sure how I could fix that, as I can't just turn it off.

Thanks!