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?
Yes every application needs to authenticate with AD server but when browsing with any browser that time you will get access through with you logged user but when you tried access any application that time application get will accessing with system user.
So you need to create authentication bypass rule for some application not for all.