Hi Vikas,
No this is not a proxy issue or anything like that. The only way to share your station on Facebook would be with your station startpage url which would just open your page in our directories separately in a new browser tab. Or instead with the playlist url's which will then open in the users own media players. None of your links will play directly within Facebook itself like for example if you had shared a Youtube video on your page.
What is your accounts username please? Just so we can check you actually have your startpage activated on your account.