I just bought it as well and was also trying to get HTTPS proxying to work. I am not a security guy, so I could be incorrect, but I think there are two things going on here:
1) the certificate generated by Proxy is 512 bits which OS X doesn't support; and
2) i'm not sure that Proxy will work with sites that use HSTS -- you might be able to clear the HSTS database in Chrome, but still for sites like Google, I think the certificate information is hard-coded.