Dependency download failure, which URLs?

We opened access to www.myget.org from the robot machine and dependencies still fail to download. When I look at a listing on myget.org and click the download link the file is actually downloaded from globalcdn.nuget.org, not myget.org. Is this the same for the robot-downloaded packages? If so, is this listed in the documentation? How are we supposed to download dependencies through a firewall?