I don't know if this makes any difference, but my client uses MWG integrated to the ActiveDirectory and even though I have credentials on their AD, my PC is not part of their domain. When I point to their MWG on Internet Options and browse some web site, the browser asks for authentication and it works fine, however the Windows 10 apps can't get internet connection.
I think this could be related to the proxy (requiring authentication) and my PC not being in the same domain, but how can I overcome this scenario?