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HTTPS uses HTTP CONNECT messages to relay through a proxy.
Due to browser behavior handling these CONNECT messages (described in https://bugzilla.mozilla.org/show_bug.cgi?id=479880) any error page produced by the proxy is ignored and a generic browser page displayed instead.
Usually this browser page mentions connection failure or other such irrelevant details.
In fact any response other than 200 OK is completely dropped by the browser and the same browser template page displayed.
This can lead to some very weird authentication problems when using HTTPS through an authenticated proxy as well for authentication schemes where the 407 message body has relevance.
It is necessary to enable the Proxy SSL decryption so that the browser trusts the certificate produced by the proxy. This way the proxy will be able to format its error page correctly.