I had a similar problem where I work. The solution is not to fix CPAN, but to fix the underlying transport mechanisms to know about the authenticated proxy. LWP knows how these work, so it was just a matter of correctly configuring LWP for my machine, which is something that should have been done when it was first installed. Things now work like a charm, and any other script or module that makes use of LWP's functions now automatically sees through the authenticated proxy.