I am behind a squid proxy and entered it's IP address in the HTTP_PROXY entry in /etc/make.conf. this did not work with wget, and I had to do export http_proxy=http://192.168.100.4:3128/ so that it would. I also had to export ftp_proxy=http://192.168.100.4:3128/ . there seems to be a problem with case sensitivity. Nermal on #gentoo had the same problem on 4-11-02 at 00:00 GMT and it seems to be something specific to squid.
This bug is not limited to the squid proxy since I just encountered it behind my company's fire wall. Definitely case related.
This will be fixed in the conf files in Portage 2.0.5