We would of course recommend you always use the current stable version, rather than sticking with those extremely old releases.
If you're trying to use a version of GameMaker older than 2.3.1 please be aware that the Mono v5 framework which is required by that old version of GameMaker has a known issue in that it doesn't import certificate authority information correctly, on macOS.
So, if you are using a proxy server which requires this information you always need to use the certmgr tool which ships as part of Mono's install in order to add your CA to Mono's own store.
After this, you should find GameMaker connects fine.
However, if you have any further issues with your system permissions stopping you from using GameMaker in any way, please see our main FAQ for the permissions GameMaker needs.