Same issue on Splunk 8.0.x. I have tried any hint I found. Including addi HTTP_PROXY= into splunk-launch.conf for access to Internet via proxy and server.conf for access via S2S to any other Splunk node via proxy. DOES NOT work.
I'm not sure if this is what you're after, but take a look at: http://docs.splunk.com/Documentation/Splunk/6.1.3/admin/Specifyaproxyserver
Splunk uses the usual http_proxy" and https_proxy environment variables for proxy configuration. To add authentication, try using "HTTP_PROXY = username:firstname.lastname@example.org:8080". I haven't used this config before myself, but it's worth giving it a go.