@GUO Ranfei (RBCC/BDO1) I'm glad to see you were able to resolve your issue. Thanks for posting your solution so that others experiencing the same thing can easily reference this. Since the Microsoft Q&A community has a policy that the question author cannot accept their own answer, they can only accept answers by others, I'll repost your solution in case you'd like to Accept the answer.
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Issue:
You are getting the below proxy error while using the Azure OpenAI service.
ProxyError: 407 Proxy Authentication Required
. Resolution: You found that the issue was related to the proxy and post changing its settings it is working fine now.