I had the same issue when users would be authenticated from AD and tried to mount a cifs share they would be prompted for their username and password. I had to change a preference to get Finder to mount shares using the user’s short name so that it would correctly pass their username to the server. Otherwise it would authenticate with ‘Doe, John’ as opposed to ‘john.doe’.
Here are the commands to get it done.
defaults write /Library/Preferences/com.apple.NetworkAuthorization UseDefaultName -bool NO
defaults write /Library/Preferences/com.apple.NetworkAuthorization UseShortName -bool YES
I am not sure if this will resolve the issue with the proxy.
Also just FYI, the AD plugin on OS X uses Kerberos to authenticate with AD. So every time a user logs in with their AD account they are granted a kerberos ticket from your AD. This ticket is valid for a few hours (by default anyway) and any other services that our connected to your AD (cifs shares for expample) should allow your users to use single-sign on via kerberos.
/System/Library/CoreServices/Kerberos – This application will let you see if you have any tickets active or manually obtain a ticket.
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