A 407 does not necessarily indicate an error. It just means that authentication was requested. In your case, the Web Gateway is using NTLM authentication.
The output you sent above is the first step of a 3 step process. The output doesnt show if authentication completed or failed.
There is likely more requests that you did not send that would help us understand if authentication succeeded or failed.
In general, I dont expect that 407 (proxy authentication) would interfere with the process.