this feature is working in an older Mendix version? Have you tried it with the newest Mendix 7 version (currently 7.23.11)? Have you searched for the issue?
Maybe you’ve found a bug on Mendix 8. If you think so, you could create a ticket on and provide a sample project with the issue. http://support.mendix.com
According to documentation (https://docs.mendix.com/refguide/call-web-service-action) :
2.7 Proxy Configuration
This feature is only available when you have configured web service calls to use the (optimized) implementation in the project’s runtime settings.
In 7.23.9 this option is available under Runtime:
However in 8.5.0 I do not have a configuration option "Web Service Calls” as mentioned in https://docs.mendix.com/refguide/project-settings:
3.13 Web Service Calls
The way web services are called has been optimized, which means you can use custom proxy settings for each web service call. However, this implementation does not support complex schemas that use a policy reference with an algorithm suite. This configuration option allows you to use the old implementation, in case you need this feature.