When launching the proxy configuration tool in Gnome we have the choice between:
- No Proxy (direct)
- Manual config
- Automatic config

In manual config, there is a button that opens a dialog that allows to configure authentication (which is required by my proxy). When using this, epiphany, Evolution, gnome-terminal can access to internet. (Only little annoyance is that epiphany will ask for the authentication credentials although we already gave them to the proxy configuration too in Gnome).

When using automatic configuration however, there is no way to indicate authentication credentials. Epiphany then will ask for the credentials and work but Evolution and gnome-terminal won't ask for the credentials and simply won't access internet.