One persons solved the the proxy issue on their 'droid
Comment #53 on issue 13080 by No Proxy setting in
Issue 13080 - android - No Proxy setting in android - Android - An Open Handset Alliance Project - Google Project Hosting

Problem solved with my Sony Ericsson Xperia X8: I replaced it by an iPhone!
Now I have proxy settings WITH authentication PER NETWORK and now ALL
applications work like a charm! OMG, it's so easy that it hurts! LOL