Proxy settings in OS X are weird. If you use SVN, Intellij wants to be different.
You need to set the proxy settings for each project if you're behind a project. Do this by going to
Settings -> Version Control -> Subversion and make your changes. If you have the proxy settings set up in IntelliJ you may want to just use those -- or you can set up your own individual settings in there.
So there we have it.