How do I connect to Microsoft Teams via PowerShell through a proxy?

Question

I have issues running the Connect-MicrosoftTeams -Credential $UserCredential command. I get the following error:

AADSTS50158: External security challenge not satisfied

My PowerShell Profile looks like:

netsh winhttp set proxy "http://myproxy.mydomain.com:9999"
$Wcl=New-Object System.Net.WebClient
$Creds=Get-Credential
$Wcl.Proxy.Credentials=$Creds

[system.net.webrequest]::defaultwebproxy = new-object system.net.webproxy('http://myproxy.mydomain.com:9999')
[system.net.webrequest]::defaultwebproxy.credentials = $Creds

I can see the Connect-MicrosoftTeams come through in Fiddler. Oddly, the host in Fiddler is actually the actual Connect-MicrosoftTeams command. The error in Fiddler is HTTP/1.1 407 Proxy Authentication Required and I can see the following Cookie Proxy-Authenticate: BASIC realm="My super secret Realm"

I can get to all other Office 365 workloads that I have tried. How do I get Connect-MicrosoftTeams to use my proxy credentials?