I have this same issue, and I have posted requesting insight on it here as well. But this has been to no avail.
It seems the proxy breaks only on networked accounts.
If you use a local account the proxy (in my experience) works fine if set up normally as you would.
-----TEMPORARY WORKAROUND-----
This is just something that I have tried that has worked for me, it may not work for you or anyone else.
Our proxy is a windows server set up with TMG2010 and a web proxy address that is different from the DNS name of the server machine.
Normally we enter into the web proxy address which is something like: proxy.mydomain.com
I had the idea to try entering the local network name of the proxy as the proxy server in the network settings, then set up the user name and password boxes as I normally would as well. This actually worked.
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Although I am not sure what to take from WHY it works. DNS has no issues, so it seems to me the authentication through HTTP/HTTPS has broke.
I have also read that somewhere else explaining it more in-depth than I feel necessary here but I will link you: http://apple.stackexchange.com/questions/118150/safari-7-cant-connect-to-intrane t-using-http-authentication
I have found the location to toggle the authentication on our TMG2010 server so now I'm just waiting until closing time to test.
---EDIT---
I just realized that most people tackling these issues look at what could be the problem on the MAC OS X side/Client Side….maybe the web server/proxy could use a good update to support more authentication control/methods/error handling…but then again that is what happens when you have two big brands with different architecture and software competing for floor space.