WSL uses the Windows Proxy Settings. Setting a manual proxy in a new enough version of Windows 11 will allow `wsl --update --web-download` to work.

You can optionally use the AutoProxy setting, but I believe this will also be applied to all distributions that you have running as well, so beware.

Scotty's comment about the WSL manual download location from the Microsoft WSL Github is helpful. Before being able to use wsl update, I would go there and download the latest "Release" not the pre-releases for use with Docker. The download script mentioned in the comments above is interesting, as well.