NuGet v3 fails to request proxy credentials in Mono because the HttpClient's HttpClientHandler throws a WebException instead of throwing a HttpRequestException with the WebException set as its InnerException.
On Windows a HttpRequestException is thrown with the error message: "An error occurred while sending the request." and the WebException is set as the HttpRequestException's InnerException.
Tests for this problem are available from the following GitHub repository:
NuGet v3.4.4 (unpatched for Mono) catches the HttpRequestException here:
NuGet v3.5 has been patched for Mono with the following commit which checks that the exception thrown is a WebException:
Fixed in master and 4.8 branch
This fix looks good to me.
There seems to be another different problem where credentials for the proxy are not accepted for https package sources. Package sources that use http are OK. Mono 4.4.1 is also OK. I will look into this other problem and open a new bug with a test repro.