Which Download Manager are you talking about?
I'm talking about Microsoft. When you log-in to Microsoft Volume Licensing side and use download manager to download something the connection fails
FYI: When not using pac file the specifing the proxy to IE microsoft download manager works
I know the MSDN download manager has it's own proxy Settings you can set, but I think you are talking about the Akamai download manager that some of the MS sites use.
There's an old thread discussing that one here:
However, I have not tried to use it in MWG7 whatsoever.