A Windows Credential Dialog Doesn't Authenticate the Proxy by Itself
CredUI can collect account information. The network client still has to handle the proxy's authentication challenge through a supported mechanism.
The familiar Windows Security prompt is a user interface, not a universal “log this application into the proxy” function.
CredUI functions can collect credential information from the user. Your networking client must still interpret the proxy's challenge and supply the account using a mechanism it supports.
For WinHTTP, authentication handling belongs to the request flow and its documented APIs. A 407 challenge is distinct from an origin server's 401, even if the application displays a similar-looking prompt for both.
Decide which proxy the prompt refers to, handle cancellation, and restrict the returned credential to that purpose. Never copy sample code that logs the password after unpacking the authentication buffer. Demonstrating that the dialog returned text is not a reason to print that text.
Integrated authentication can involve a different credential representation and process identity. Do not assume every method reduces to inserting a username and password into a proxy URL.
The useful boundary is clear: the prompt obtains user input, the networking API performs the authentication exchange, and the proxy decides whether to accept it.