We appear to have come across an example of issue CXF-2223 (https://issues.apache.org/jira/browse/CXF-2223)

This is marked as fixed, but there seems to be some doubt over this from the latest comments.

We can use the same configuration to call an http endpoint through the same proxy, and this works fine. However when using https, we get an HTTP 407 proxy authentication error.

We can also successfully call out using https and http through the same proxy using http-client (camel-http) endpoints. So this appears to be an issue in CXF only.

Here I attached a test to show the problem. But you will need a http proxy configured with HTTP basic authentication.