This is a regression(?) from Bug 339727, which was fixed on the LibKGAPI/2.2 branch but never released. The branch, however, when merged into master got the fix reverted (commit 64493078). This affects Bug 343039. I am running libkf5gapicore5 version 5.3.1-0ubuntu1~ubuntu17.04~ppa2 (from Kubuntu Backports PPA).
We now use QNetworkAccessManager for API calls and QWebEngine for the authentication window, all of them use system-wide proxy configuration, so if it does not work, it may be a problem in your proxy configuration. Marking as fixed, we let Qt do its magic, so from our side all is good.
*** Bug 371700 has been marked as a duplicate of this bug. ***