Somehow I managed to "resolve" this.
I am not entirely sure this is the reason, but I followed these steps. The emulator must start while there is no network available.
I also have the DNS servers from my company set in the Launcher menu using the options:
-dns-server server1,server2
(got the values from ipconfig /all
in a command prompt). It will not work for me without these settings.
and I configured the proxy manually in the emulator by creating a new APN following these steps.