Part of the Workday Add-on is generated using Splunk's add-on builder app, which includes a module that specifically removes http_proxy/https_proxy environment variables. What you are seeing is the client connecting directly to the Workday API and receiving an HTTP 401 error. Make sure your tenant allows access by OAuth2 clients (https://community.workday.com/AddOnForSplunk) and that the other settings are accurate. The localhost connections are from the Add-on connecting to the local kvstore on your Splunk instance, for managing timestamp checkpoint values.
We are implementing proxy settings right now, expected to be in the next release (currently 0.4.1).
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