Does MsgConnect work with proxies, firewalls, NAT and alike?
MsgConnect supports various types of proxy/firewall connections, including SOCKS, HTTP Tunneling and HTTP Proxy. I.e. MsgConnect client can connect to server from behind the firewall.
Another question is when both sides of the connection are behind the firewall / router / NAT. In this case you need to configure firewalls properly so that connections are properly forwarded by routers. This is network administrator's work, not software developer's. So for case of direct connections betweeen two clients, when both are behind routers, the question is "not applicable", i.e. the answer is "yes, when router is properly configured and no otherwise".
Note, that this is not software limitation, but the way the network works -- the client should know server's address and there should be no software or hardware on the way which prevents connection.