ProxySQL uses a self-generated SSL certificate, which is rejected by all reputable browsers. I suppose this explains the "reset error" you mentioned. With Firefox, I get a page titled "Warning: Potential Security Risk," and I must select "Advanced..." , followed by "Accept Risk and Continue," before I can access the password dialog. With Chrome, the message is "Your connection is not private," followed by "Advanced" and "Proceed to stage-cstm-proxy-11 (unsafe)." I believe these browsers can be configured to reject untrustworthy certificates without leaving you ani choice. Your browser can probably be set to give you the option of trusting an unknown certificate. If that's not possible, you could provide ProxySQL with a valid certificate, or you could manually add the self-signed certificate to your list of trusted certificates.
ps: I can't make curl work either, but wget --no-check-certificate https://user:pass...@127.0.0.1:6080/ works fine.