When username with domain part is set in QNetworProxy constructor:

QNetworkProxy configuredProxy(QNetworkProxy::HttpProxy, url.host(), url.port(), "domain\\user", "password");
QNetworkProxy::setApplicationProxy(configuredProxy);

NTLM proxy auth fails (I believe that MD5 Digest auth fails too) because QAuthenticator treats "domain
user" string as a single user name. At the moment of initialization authentication method is None and hence no username parsing is performed. Username should be re-parsed when auth method is changed by proxy reply HTTP headers. Attached patch fixes the problem.