Right click on the session status window and enable timestamps.
How much time elapses between each of the status messages?
[R] SOCKS: Connecting to x.x.x.x:xxxx
[R] Error: Connected to x.x.x.x:xxxx
[R] Connected to x via Proxy
[R] Connection failed (Connection lost)
In the Preferences > Connection section make sure your connection timeout is high enough, if the value is too low it can result is this error.
I think we really need a wireshark capture of when this specific error occurs.
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