The efw-upgrade command will fail for an EFW living on a network that requires use of an HTTP proxy. To make it work efw-upgrade needs to be configured to use the proxy to download updates and repo data, but there doesn't appear to be any official documentation on how to do this. EFW uses the Smart Package Manager, and luckily there's good documentation for smart.
To make efw-upgrade work, use SSH or the console of the EFW to log in as root then run this command:
smart config --set http-proxy=proxyurl
My proxy url looks something like: http://a.b.c.d:8080