We use a non-transparent proxy server (proxy settings are setup in the Internet Options). I can login to the PowerBI Desktop application just fine by default. But if I set the registry key to disable update notifications (see below) the login suddenly fails with the message:
Unable to sign in
Your network requires proxy authentication. Please contact network admin to check your authentication and firewall settings.
In the trace I can see that the proxy is asking for authentication (I removed lots of the log for simplicity reasons).
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Microsoft Power BI Desktop\
If the value is 0 it works fine, it correctly authenticates to the proxy and logs me in. If the value is 1 it suddenly tries to reach the URL directly without using the proxy which ends up with the proxy throwing the error above.