Hello Khaja,
If my understanding is right, once the Proxy is called and the response is received back from PI, you make a BAPI call in your ABAP report. If the BAPI call fails, you would like to then set the entire PI response as an error message? Is this understanding correct?
If yes, well, what you are trying is logically wrong - you have made the ECC -> PI -->Webservice call and the same is successful. What you are then doing is post processing within ECC and this has no bearing on the Interface actually triggered and is being done post your Proxy call. The BAPI error should be handled within your ABAP report triggering the Proxy call but it cannot set the proxy call as error as the call was actually successful!
Regards
Bhavesh