The http_proxy setting in make.conf is specified in capital letters. It really shouldn't be, as wget won't see the setting unless it is in lower case.
This caused confusion for me as well. The gentoo installation uses wget as the default FETCHCOMMAND, yet wget needs the http_proxy and ftp_proxy environment variables as lower case. I checked lukemftp and it uses the upper case HTTP_PROXY and FTP_PROXY. I didn't see either source using a PROXY enviromment variable and I do not see any portage scripts/modules using this setting so I can only assume this is there for future enhancements or for the prozilla package. As the FAQ suggests, I can modify wget's wgetrc file to get the proxy settings to work, however I think if the default installation uses wget for its fetch method, the make.conf should reference the lower case http_proxy and ftp_proxy to avoid confusion for the new gentoo user. Maybe have both versions in the make.conf commented to explain which one the user should use based on the fetch method.
Fixed in 2.0.34-era portage
