Authenticated Proxy support in Code (HTTPWebrequest / WCF / Sockets)
Currently it's not possoble to make connections behind proxy servers that require authentication.
This very much limits business type apps that can use resources or run apps while connected to a work network.
It's only currently possible via the web browser.
Mike Bishop [MSFT] commented
For Windows Store apps, HttpClient has authenticated proxy support for HTTP interactions. Sockets (StreamSockets and WebSockets, specifically) likewise already have this support, and will attempt to connect through the proxy as well as directly, if a proxy is configured. See http://msdn.microsoft.com/en-us/library/windows/apps/windows.networking.sockets.streamsocket.aspx for more detail on sockets.
This support isn't available on Windows Phone so far, but we're aware of the request. Thanks for your input!
Such a good idea !
Would change my life at office :-)