The Qlik REST Connector is not able to handle proxys by itself. The proxy is something that many organisations and businesses put alongside or as a part of a firewall to be a necessary "guard" between the internet and the internal net. Some proxys are set up to demand password from all users as a part of company/organisation policy.
The Qlik Web Connector on the other hand provides full support of proxys. Have a look here:
The Qlik Web Connector can be an intermediary for the Qlik REST Connector so you don't necessarily need to use the QWC as a full replacement for the REST Connector.