The Qlik REST Connector is a young and versatile connectivity solution so it’s still lacking some features. One missing point is a proxy authentication so all your REST calls get blocked if your Qlik server (or desktop) is behind a proxy. Btw. Qlik Web Connectors already provide this proxy configuration option.
But there is help if your Proxy works with HTTP Basic Authentication. You can just use the HTTP header Proxy-Authorization within your REST connection.
Example: user:pw = test:test
Proxy-Authorization: Basic dGVzdDp0ZXN0
Now use the header in the REST connector dialog:
Then, test your load script and cross fingers.. ;-)