Before I finalize my scripts that include LWP, I always use the following:

use LWP::Debug qw(+);
[download]

It is good for displaying the HTTP request process.

If you have to use $ENV{'HTTP_PROXY'}, then I guess you have to, it's not that big a deal.
My personal preference is to use the LWP::UserAgent proxy() method. I just don't trust environment variables :P