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.
Copy out this HTTP header from your browser session and use it in the REST connectior dialog. Alternatively, you can encode your proxy credentials (user:pw) yourself with Base64: