I have a similar issue in my project. I attempt to access a proxy with NTLM authentication via LibCurlNet. It works as expected when attempting the same thing curl.exe.
One interesting thing is that in verbose mode, I Irecognized that the "proxy user" is reported as an empty string. when integrating the user into the proxy url itself (user:pass@host:port). but then i just get diffrerent erors.