The http_proxy setting is used for splunkd traffic. The Azure billing add-on uses modular inputs to gather usage data from Azure, and modular inputs can implement any mechanism they want (meaning they don't go through splunkd). Therefore, modular inputs have to implement any proxy configurations internally. But, as you have found, this add-on doesn't currently implement any proxy settings. If you want to dig just a little into the code, here is how you could make it use a proxy:
edit input_module_azure_billing.py
look for the text r = requests.get(usage_url, headers=header) and r = requests.get(billing_period_url, headers=header)
right before those lines, create the following code (substitute your proxy information):
proxies = {'http': 'http://10.10.1.10:3128','https': 'http://10.10.1.10:1080'}
change r = requests.get(usage_url, headers=header) to r = requests.get(usage_url, headers=header, proxies=proxies)
change r = requests.get(billing_period_url, headers=header) to r = requests.get(billing_period_url, headers=header, proxies=proxies)
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