How to configure VS Code to remember proxy settings (Windows)

I'm a little bit fed up of this window:

I checked the configuration and I added the proxy URL to the http.proxy entry as described here:

"http.proxy": "http://frustratedusername:password@pesky.proxy.com:8080/"

But it didn't work. Then, I tried setting the http_proxy and https_proxy environment variables, but it didn't work neither.

Is there any way to make VS Code remember the proxy settings?