TLDR ;)
Ok, let's get started to fix this issue :)
First, you need to navigate the Visual Studio instance and for that do the following:
Open Properties on VS shortcut and then click on "Open File Location"

 
Edit as administrator the devenv.exe.config with Notepad++ or other editors you prefer:

 
Navigate to the end of a file and check if you don't have <defaultProxy>... section:

 
Make sure to add following inside <system.net>:
 
   <defaultProxy enabled="true" useDefaultCredentials="true">
      <proxy usesystemdefault="true" bypassonlocal="true" />
   </defaultProxy>
The final result should be like this:

A few notes:
- If you have several Visual Studio instances then make sure you edited  
devenv.exe.config for each one. 
- Sometimes after VS updates, these files content can reset. So a good hint here is that once you Update Visual Studio instance, then go and check the 
.exe.config file. 
Update:
Btw, the same kind of approach work for many other applications, for example, check this post.