We've tried to replicate your network environment as best as we could - we deployed a Forefront server that authenticates against an AD domain and tried to run Graphite on a machine joined to the same domain. In our tests Graphite successfully impersonated the domain user and got through the proxy.
But if Graphite isn't able to impersonate the current user, you should get an authentication popup asking for credentials for the proxy.
Can you please go to Control Panel > Windows Vault and see if you have any credentials there under the IceniumGraphite_* key? If so, please delete them and try again.
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