Power BI Desktop not using Windows System Proxy

Hi, im trying to connect to a Databricks instance that is secured so you can only connect through the proxy company. 

In order to connect to the proxy, I must open a ssh tunnel and bind it to a certain port (1080 usually). Then, I've managed to configure windows system proxy so it redirects traffic through that port (see the following capture) and it works just fine.

Im able to connect to databricks in the web browser, navigate, etc. so the system proxy is surely working correctly, but when I try to configure the connection to Databricks (Azure Databricks in this case, it should be the same thought) I got a default error 403, just if I wasn't using the proxy. If credentials were wrong, it would output other message.

The configuration I'm using is this. I tried both of the two posible values for "Automatic proxy detection", and none of them worked. 

It seems like Power BI is not detecting/employing the windows system proxy. I've been searching for a while and couldn't find anything related to this, so please, if someone can enlighten me on this, it would be awesome.

Thanks!