Veja libcurl-tutorial (3)
, seção Variáveis de ambiente :
libcurl automatically checks and uses a set of environment
variables to know what proxies to use for certain
protocols. The names of the variables are following an
ancient de facto standard and are built up
as "[protocol]_proxy" (note the lower casing). Which makes
the variable 'http_proxy' checked for a name of a proxy to
use when the input URL is HTTP. Following the same rule, the
variable named 'ftp_proxy' is checked for FTP URLs. Again,
the proxies are always HTTP proxies, the different names of
the variables simply allows different HTTP proxies to be
used.
The proxy environment variable contents should be in the
format "[protocol://][user:password@]machine[:port]".
Você precisa inserir o proxy nas configurações da variável de ambiente, não nas configurações de rede.