Hello Silent Death,
This is going to sound a bit bonkers. Basically, don't touch the proxy and don't touch the Storevirtual.
From the Veeam interface initialise the repo as a veeam proxy. I suspect you've already done this.
Go into Veeam and give it administrative credentials to your Storevirtual. It will then detect all your SAN topology and volumes. From this point Veeam knows how to connect to your SAN and do the snapshots. The SAN topology detection process can take ages. This needs to be done once for each management group. Veeam will update the topology periodically.http://helpcenter.veeam.com/backup/80/vsphere/hp_p4000_add_name.html
Now create a new test job so that it will use SAN snapshots. This is shown here http://helpcenter.veeam.com/backup/80/vsphere/backup_job_advanced_integration_vm.html
Ensure failover to standard backup is not ticked.
When the job runs it will say something like creating VM snapshot Then very quickly afterwards will say removing VM snapshot. It will then start the backup process. It isn't very clear but this then means it is using direct SAN mode.
Although the documentation isn't clear the Veeam proxy seems to have the ability to connect using an internal initiator. At some point I'm sure it did use the Microsoft initiator but I'm not sure that's now true necessarily.