Hello,
Thanks a lot for the additional information! Indeed, it is possible to pass the path to the .pac file to VS Code, but this will be applied to the VS Code process only and for “native” features like auto-update of extensions, VS Code telemetry, etc., as mentioned in the linked document (thanks for that btw!). Unlike IntelliJ, those settings are not propagated, and even in some cases not available at all for the extensions 
As I said above, SonarLint for VS Code does not officially support Connected Mode setup with proxy. We do have a ticket for it, but due to the variety of proxies, auth options, etc., it has not yet been properly specified nor implemented.
The SonarLint setting that was linked is a kind of workaround that works for some cases but not all. I found this old thread with a similar problem to yours. I think if you make sure that the PAC file you are using is applied in the system network configuration, and then you tell SonarLint to use system settings like you did here, it could help.
At the same time, I am flagging this for our product team for further prioritization.
I appreciate your patience and willingness to collaborate throughout all these replies. 
All the best,
Sophio