This was an interesting error that I had to hunt down.  When specifying a proxy server in .NET like this: WebProxy("https://someproxyserver") you will get this error.  You will get this error for whatever scheme that you enter before the "://" characters.  For example if you use this: WebProxy("somescheme://someproxyserver") Then you will get the error message: The ServicePointManager does not support proxies of somescheme scheme.  The only scheme that is recognized by this class is http.

You will also get this error if you set something like this in your .config file: proxyAddress="myproxy.somewhere.local:8080"
You MUST list the scheme like this:   proxyAddress="http://myproxy.somewhere.local:8080"

Discussion - Most organizations do not have an HTTPS Proxy server.  This is not necessary because if SSL communication is required, this communication is between the endpoint server and the Client, not the Proxy and the client.  This does not mean that SSL communication is in anyway not secure through an http Proxy.  The SSL traffic is encrypted and tunneled through the Proxy just fine and this is no less secure than going directly to the SSL based target  (as long as you trust your proxy).  It is only the initial connection to the Proxy that is not over SSL.