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In general I think HTTP ought to follow any standard or agreed practice for the use of this variable. I see the plausible options as:
Do nothing and continue confusing users
Fail but with a more helpful error message
Treat empty as non-existent
I can't find any official specification of what http_proxy should mean and some googling suggests that many other people seem to favour 3) as well - see e.g. pypa/pip#478 - so I am inclined towards doing that.