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Error when importing from Data Feeds

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SQL Server 2012 SSAS. Very funny error. I cannot same issue in forums:

Errors in the high-level relational engine. The following exception occurred while the managed IDbCommand interface was being used: The remote server returned an error: (407) Proxy Authentication Required..

An error occurred while processing the partition XXXXX

The current operation was cancelled because another operation in the transaction failed.

When I go through the import everything seems to be fine: it successfully connects to the report/data feed, it lets me preview and filter tablix displaying information, but when I click Finish, it throws the error on import.

What could it be? I have configured credentials and Proxy in SQL Server Agent.


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