Its working for some accounts and for some not.
After making some network traces I have seen, that WinSCP adds a "=" to every encoded username/password-string, also when its not necessery.
In my case I have an username/password, thats encoded 24Bytes (without "=" at the end), so no "=" should be added.
WinSCP adds one "=", so I have 25Bytes and the proxy couldn't understand this and gives a 407 error (Proxy request failed, can't connect through proxy server HTTP/1.1 407 authenticationrequired).
Version WinSCP: 4.3.4, 4.3.6 and 5.0.5 (Beta)
Windows Version: Windows XP and Windows 7
The Proxy is a McAfee Webgateway 7.