It seems to be a network issue and if its not then just try to record it with Mozilla or firefox and see what you get. Make sure you have proxy setting same as in browser.Dont give exceptions in the RTE of LR.
I am having the same problem on all our machines. It was working fine not long ago. I've tried disabling our proxy server and firewall. Still getting this error. It hangs as soon as I launch a Record for a new script. Playback of existing scripts works fine.
[Net An. Warning ( 958: 510)] Request Connection: Remote Server @ xxx.x.x.x:3338 (Service=) Failed attempt #1. Unable to connect to proxy (@ "localmachineIP":9933): sid = 1612, rc = 10035)
Since it has affected all our machines, and they all worked before, I wonder if it could be related to a recent Microsoft update or something?