That is mistake number one :D
Others would say that the upside of an open system like proxmox is that you can do stuff on your own. And I'd trust my selfmade scripts more than VMWare ;)
It is not "designed" in this way. It is probably simply...
If you don't want to use proxmox offline mirror then I'd suggest using a HTTP-Proxy. This way you can whitelist the URLs. Allowing CDN IPs is (depending on the CDN) not really the most secure solution anyways since IPs are reused by multiple...