Proxy Login Popups on Mavericks
Quick question first, are you setting the proxies manually or are you getting the settings via Auto Discovery or an Automatic Proxy Configuration (APC) URL?

If you are setting them manually then you should be able to select Proxy Server requires password and enter the correct credentials there.



If you are getting them as an APC URL then you may have a problem with that particular keychain. Using the Keychain Access utility look in both your login and iCloud keychains and delete any you find for the the proxy server.

Now you should be able to save your credentials properly.