Thankyou so much Saket and Alper for your so fast reply !
I confirm, I've modified run.sh as follows:

after the "cd dirname $0" I've added the following 2 lines and then re started the service ... and then from the Admin panel the installation works ! That is great and I would strongly suggest to add it to the FAQ.. for those behind proxy with authentication.

export http_proxy=http://DOMAIN\\SERVICEUSER:PASSWORD@myproxy.mydomain.de:proxyport/

export ftp_proxy=http://DOMAIN\\SERVICEUSER:PASSWORD@myproxy.mydomain.de:proxyport/

in addition to the tool installation, also the GET_DATA works now !!!
That is amazing, congratulation to you all.