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Where are you seeing this message? The AD Proxy does not need to specify a username, so I suspect you are seeing a normal message. Where code is shared with the credential proxy, which would need to provide credentials, the same method would work with or without a username depending on which proxy is using it.
Yeah, I've now determined that the <no username> isn't a cause for concern. It seems now that the likely cause of my problems is some unannounced tightening of firewall rules. I'm still investigating...