EndNote does not work with an authenticating proxy server.

And it’s a bug/feature which is at least 10 years old, and Thomson Reuters have not fixed that issue in those 10 years.

It wouldn’t be that difficult to fix your application guys, here’s how you can do just that with a .Net 2 application.
Poxy proxies

As a workaround, we’re going to have to exclude every sodding database url from our proxy server.