Does Skype for Business works well on networks with Web proxy?

Define well? What's working "well" for a simple IM might be a disaster for calls/conferences. In general, its recommended to bypass proxies for any O365 traffic, SfBO included. There's a detailed guidance here: https://docs.microsoft.com/en-us/skypeforbusiness/optimizing-your-network/optimizing-your-network

You should also do a thorough analysis of your network using the SfB network assessment tool: https://www.microsoft.com/en-us/download/details.aspx?id=53885