If I try to connect to this FTP I can connect with proxy I cannot.
But we need to use proxy because our security department will deploy netskope and limit access to the internet and ports including FTP
There may be a bit of misunderstanding here. It's well known that FTP is an awfully outdated protocol and without offering encryption it's also very unsafe (passwords being transmitted in plain text). As such it's very sensible from any security expert to work towards banning its use.
Now, the problem is this: if FTP server owner doesn't do anything about it, then the connection will end up as unencrypted FTP over the internet (on the network topology that's everything between "OurGateway" and "ACTIVE 24 FTP") regardless of what you try to do on your side. If your security team forces you to use some proxy (e.g. web proxy on MT), residing on your side of internet cloud, then realistically you dodn't improve security of your FTP access a bit. It's really up to active24 to offer a more secure means to access storage (e.g. SFTP), proxy on your side won't help.
It is possible that your security team is not concerned about plain text passwords passing internet, they might only be concerned about complexity of firewall setup when FTP is involved (FTP uses multiple TCP connections, one is for control plane between client and server port 21, others are open on demand for some operations, e.g. actual file transfer ... and these are between random ports on both sides, possibly open from the server side ... to overcome this firewalls need to analyze traffic through control plane, even changing it to reflect IP and ports on FW itself ... which is a bit troublesome). In this case using a proxy on firewall itself (if security team agrees it's OK to use it) or on internet side of firewall would help.