IE8 HTTPS and Proxy?

We recently came accross an issue on a website we were working on where IE8 wasn't allowing content to be downloaded.  It seems that we needed to add "Proxy:" as a header.  This seems like a bug, but at least we have a work around.  This only happens when the connection is using https.

The Proxy RFC is defined in here:

1. http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html
2. http://en.wikipedia.org/wiki/List_of_HTTP_header_fields