Version 2.5.0.63 of Skype is still entirely unable to handle a proxy server that requires authentication. Trying to log in using this version of Skype, I (still) get:

Failed to sign in: https proxy authentication failed

(Note: no authentication was requested by Skype, not even the use of my proxy Keychain item.)

To use the settings from the Network PrefPane, Skype needs to support at least the same proxy options as Mac OS X itself, and that includes authentication. To support more or fewer, Skype should use its own proxy settings dialog.

Ideally it should support the same methods available in iChat, AIM, Adium, Proteus, etc.

Sorry, I have yet to experience any problem since I have just installed this new version. What I have noticed is that the "HISTORY PAGE" accessible from the SKYPE contacts list (#1) is still missing the details (Date/Time/Duration)... sure, those details can be seen thru the menu window (#4), but I feel it was much better to have them there, like in older versions, see who/when you called and, just by clicking, call that same person again.
Just my 2¢
Cheers

Tino your problem is totally not connected to previous posters problem.

Deejamon what version of Os X are you using?