unfortunately that is not an uncommon problem. It starts with broken Java Applications which do not use the Proxy settings from system or even ignore the Proxy settings especially made for Java. I have seen Java applications which die as soon as MWG asks for authentication (if they respect the proxy at all...), etc. And it continues with Windows Media Player or Quicktime who respect the proxy settings but have not implemented integrated authentication, causing authentication popups to occur, unless you provide some exceptions.
Sometimes "displays correctly in IE on a DSL line" seems to be the only test that is done :-)
In case it is possible you could intercept port 80/443 on the firewall and redirect it to MWG as a "fall back" to catch such applications or user who try to avoid the company proxy. However it seems to be a bit of an overkill for a single application, so hopefully you can get some positive response from Intuit.
Another options would be to install some software to the computers which use that software, which enforce HTTP to go through a proxy (e.g. by picking up the packets before they go to the network). I think I have seen something similar before. The remaining question is if the application will continue to operate then...