Graphite works when Fiddler is capturing because Fiddler becomes the new HTTP proxy for all applications, including Graphite. Because Fiddler doesn't require authentication as a proxy server, Graphite can execute HTTP requests.
Most probably your proxy server requires authentication, but, if you're logged in as a domain user and the proxy authorizes against your AD server, Windows handles authentication for you transparently.
Graphite, however, can't access your Windows credentials and so it can't authenticate to the proxy server. We're looking into ways we can integrate with Windows authentication, or, failing that, show a username and password prompt when a proxy server requires authentication.
All the best,
the Telerik team
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