Hi Miguel,
Hmm… an idea would be to set the proxy in Windows directly: Start → Configure proxy server and then follow the steps in the guide to put those settings in the .config file: Redirecting Robots through a Proxy Server
I have also found this: https://visualstudio.uservoice.com/forums/121579-visual-studio-ide/suggestions/2397357-fix-it-so-that-net-apps-can-access-http-thru-auth
<system.net>
<defaultProxy useDefaultCredentials="true" />
</system.net>
I am not sure I understand very well your request. If not, please give me more details.
Thanks!