I never wouldn't write this post, but with some help we have finally come to get the so long requested answers. Unfortunately these are not the answers we were hoping for, but at least now we can move forward and start to think how to make a patch to the errors made in the past (by someone other).
The most important piece of information came from a Google Developer Advocate, and I want to completely quote it here, but you can find the whole discussion on StackOverflow:
I don't think there was any platform-level support for Wi-Fi proxies before Gingerbread or perhaps Honeycomb. Edit: An Android engineer who works on this part of the platform confirms that the system didn't have proxies for different network types (e.g., Wi-Fi) until Honeycomb. So there is no "official" way to get the Wi-Fi proxy for 2.x. [Sparky]Simple and clear, right?
Before continuing with the full explanation I would like to personally thank Claudio and Sparky for the collaboration and the help offered to this investigation. Thank you guys, it's always a pleasure to talk with people (not only developers) like you!
And now let's go back to the detailed explanation. We can summarize what I discovered since today, with a list of final statements. We can call them the:
3 Android Proxy Project Laws (APPL v.1.0)
No "official" way to get the Wi-Fi proxy for 2.x devices.
Newer devices have better Wi-Fi proxy support (but still not perfect).
As we already know, starting from Android 3.1 (aka API version 12), something has changed and a better infrastructure for Wi-Fi proxy has been introduced. The users can specify a proxy setting for each Wi-Fi Access Point, but no authentication is supported by the API: this can be achieved per application basis as Google did for their Android browsers starting from Android 4.0 (aka API version 14).
Users need to expect to receive applications with proxy support builtin
It's a user's right to receive a well coded application that works without problems on any network condition. It's the difference of preparing a real professional application or just a kid's work.
For this reason any developer should use the official API. BUT when the official API lacks, the developers should use the best alternative to implement a feature that received so many requests. Yes I'm talking of APL. If your favourite application doesn't support network proxy please write a comment to their developers and tell him that they can easily support proxy in their application (they can find all the instructions on this site).
Everything clear? Perfect! In the next days you will get more news regarding the first stable version of APL, so every developer will be able to support all the networks with proxy in a snap! I just need some more time. I'm finalizing the API and the documentation. It shouldn't take too much. I promise it will be worth the wait!
See you soon guys!