Testing one of our geodata services, we discovered that it allowed us to extract a portion of our feature class but when we tried to extract the entire data set, we received this Data Extraction error: Data extraction failed. Proxy or Gateway Server did not allow the URL. Check with your LAN administrator that Proxy or Gateway server is configured to allow the URL. The fact that I was able to extract a portion of the data and I could see the entire geodatabase get made and zipped led me to believe it was more of time-out issue.