Apple has a long-standing history of not fully dealing with situations behind a firewall. Most problems are solved after years, while new ones crop up. Ever since updating to Mountain Lion I have these nasty dialogs "Proxy Authentication Required" – it doesn't tell you which service wants this, but there are lots of them and they don't save the password. All this although the correct proxy setting are entered at "Automatic Proxy Config" in Network Settings.
Lucily, my student David found the solution: take the IP-adress given there (here 193....) and enter it for the other two proxy settings (Web… and Secure…, see image below). Then another dialog pops up, asking you to confirm reading this from the keychain. And it also tells you in small print (up left) which service requires this - in this case "ubd". So what is udb? I found it by typing "man ubd" in the terminal, and it told me “ubiquity daemon, part of Mobile Documents”. Well, that's certainly a little less mysterious.
Any way, after (judiciously) entering "Always Allow" several times one is spared those rude interruptions.