Hey Gineer! even I am facing the same issue. Can you please enlighten what difference does changing the identity made. Any reason that changing the identity will make it work. Does ur identity has some additional privileges. Didn't understand how proxy change has to do anything with the identity provider.
I hope that helps someone else having the same problem.
I think I was able to resolve this issue. It turns out that our proxy server seems to have been the issue. I had the Application pool that was running this site in IIS configured to use NetworkServices as the Application Pool Identity. I changed the Identity to run as myself to see if the problem was resolved and it was. It's obviously not recommended to have a site run as a user account, so I will be requesting our IT team to create a domain account for this site, that also has access through our proxy servers.
Thanks this did the trick for me! :)