Android doesn't connect to proxy server

In the past I could connect to a proxy by entering the proxy's settings in the APN settings or Wireless settings. However, now android seems to ignore my set proxy - after hitting Save it disconnects from 3G for a few seconds (I have no internet access), and then it connects again as usual. To check it I also set a fake proxy (fake address/port) and it doesn't fail to connect - it just ignores my settings. I have Android 5.0.2, so I tried to find some info about lollipop having this issue but with no luck. Maybe someone can confirm it, or has some sort of a solution?