Hi,
Based on my understanding, after you patched the Windows update on May 2021, download application will get the error of (407) Proxy Authentication Required. Please feel free to let me know if I have any misunderstanding.
In order to narrow down whether the issue is related with May 2021 updates, please go to one problematic machine and then one by one uninstall May 2021 updates. Check which KB is causing this issue. Then I would suggest you not to install this update temporarily. You could wait for the next monthly update patch (i.e. the update patch for June) and install it to see whether this issue will occur again.
In addition, the Feedback Hub app lets you tell Microsoft about any problems you run in to while using Windows 10. You can report this issue to Microsoft directly with the Feedback Hub app.
For more information on using the app, click here:
Send feedback to Microsoft with the Feedback Hub app
If this issue is urgent, I would also suggest you contact Microsoft Customer Support and Services where more in-depth investigation can be done so that you would get a more satisfying explanation and solution to this issue.
You may find phone number for your region accordingly from the link below:
https://support.microsoft.com/en-us/gp/customer-service-phone-numbers
Best Regards,
Candy
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