Tested on IE and Firefox. The result is, that both browser react differently on the 307 response sent by the proxy to redirect back to the download/progress pages. Firefox happily logs in again and shows the download, whereas IE just gives up. I assume it 'detects' that 307 is not a real FTP header, whereas we are talking ftp over http and therefore http responses should be valid and properly interpreted. It just seems that IE doesn't know how react up this code and stops trying. A workaround can be to limit progress pages to all browser but IE + FTP. An indication of IE as part of the user-agent is usually MSIE ?.0, whereas ? is the brwoser version.
Thanks for looking into this, Michael. You've confirmed that disabling Progress Pages for FTP over HTTP is the best way to go. The only approved browser in our environment is IE, and only a few web developers use Firefox so I won't bother with the browser check.