In Step3 select "I would like to connect via an HTTP proxy", when I select this option, the proxy url will be written to the rhsm.conf. And after I click "Test Connection" the subscription-manager-gui will be no responsible. So I think the right action order is to add the poxy url after click the "Close" button if the "I would like to connect via an HTTP proxy." is still selected.
This is fixed for rhel6.6, but will not be picked into 5.11 because it requires some code changes. Not worth the risk of breaking other code for the fix this late in the game.