I found a "fix" for those interested, of with the same issue. It looks like, since OSX Maverick, setting the proxy system-wide writes down some java system wide property, and so the proxy is applied globally for IntelliJ (or some weird stuff, I'm not so sure) and Gradle
Anyway, if you set your system wide proxy, and in IntelliJ -> Preferences -> HTTP Proxy : No Proxy, then, weirdly, IntelliJ will use the system wide proxy, and Gradle will work as well.
You can try to check updates, if you want to be sure it works (and it will)