Isn't that how p2p works? I am really not that familiar with p2p but I thought that both gameranger and the official demigod multiplayer works similarly.
Game Ranger is using orgranized P2P though. Demigod is using a type of P2P which is trying to randomly connect you to other people (referring to pantheon, not custom games). Since its random, theres high chances of other people having firewalls up, ports not open, etc.. This is why people usually dont have problems with Custom Games. With GameRanger you are joining a game through a P2P server that doesnt require you to manually forward/open ports, this way you don't have to hope for router compatibility with others/firewalls/ports.
P2P can work several ways. The way demigods is setup im assuming is very strict and if a few packets dont transfer over correctly or someone has a firewall up it just cancels you out and closes the connection. Thus why they are switching the servers to proxys, which still may not be a good fix but is worth a try.