OS X 10.6 Internet connection shared to iPhone from Ethernet to AirPort, but

Question

I have successfully shared my Ethernet connection from my iMac (Mac OS X v10.6.x) to my other iDevices (iPhone/iPad). With proxies set up in the iDevices and authentication info entered, Safari works without any problems. However, no other apps get any connection at all. Is there a workaround for this? Have I missed a big chunk of configuration or have I misconfigured?

Below is the list of the steps I have done:

1. (on iMac) Share Internet connection from iMac's Ethernet to AirPort
2. (on iMac) I have also keyed in info for 'Automatic Proxy Configuration'
3. (on iMac) For testing purposes, I have shut down the firewall at the moment
4. (on iDevices) Select the appropriate Wi-Fi connection and enter the proxy information

Notes that may be helpful

1. I'm behind a proxy
2. All authentication info is correct (otherwise I wouldn't be getting connections from Safari)