with proxy

you can use the system level API: the HttpClients used by ADAL.NET are able to use it.

using System.Net;
...
{
 // Set the proxy
 IWebProxy proxy = new WebProxy("http://proxyserver:80", true);
 // This does not work on .Net Core https://github.com/dotnet/corefx/issues/7037
 WebRequest.DefaultWebProxy = proxy; 

 // Use ADAL.NET
}