How can I run an Azure powershell cmdlet through a proxy server with credentials?
Easier:
[System.Net.WebRequest]::DefaultWebProxy.Credentials = [System.Net.CredentialCache]::DefaultCredentials
A few customers I know were successful using the method outlined here (Supporting Basic Auth proxies). If you need other proxy types, it follows the same pattern. The nice thing about this is it does not require changing the cmdlets.