Splunk and Office365 on Microsoft Cloud - data are not flowing

Hi, We use Office 365 on Microsoft cloud. We installed Splunk Add-on for Microsoft Cloud Services to get audit/logs from our Office365 cloud. Authentication process was successful, but data are not following in. Our splunk server is a stand alone Linux server behind the firewall, we are using proxy during the authentication (proxy is setup in Add-on settings for Office365). Anybody has any ideas? Thank you!