Took me a few to figure this out. Any requests sent through ArcGIS for JavaScript 3.0 using a proxy url does not include the cookie. This is pretty severe since a secure cookie determines whether the request is authenticated against a server. When my server receives it, it kicks it out because the request was not authenticated.
In version 2.8 and prior versions, the cookie is sent correctly. Switch to 3.0, no cookie. Therefore any site using forms authentication (with or without SSL) and a proxy will see this bug.
The workaround is simply to stick with 2.8 until it can be fixed.
I have screenshots if needed.