I already do this.
All exceptions are handled and error messages are displayed accordingly to the caught exception.
When you get this error message "check your internet/proxy settings", it is related to a "socket 10061 error" which is an exception generated by my component.
And this error means that it can't connect to the API due to bad internet/proxy settings or a blocked port by a FireWall...
I don't know where to look because everything works as intended for me on several computers and different places.
Myjosito is able to connect to the API too, because his "error" message is "game not found", and that means the application was able to connect to the API but didn't find Medias for the selected game.
EDIT: I've made a few research and it could also be that the server was overloaded and thus rejected your connection...