Some tools demand environment variables to be present in a certain case. E.g. some libraries read out the proxy configuration in the environment variable HTTP_PROXY (all uppercase), while some refer to the lower case variant http_proxy. An example of the later is libcurl. So in any case you want to set both variants.
Unfortunately Jenkins has some problems passing all variants from the build host environment and is mixing up things. It doesn’t seem that the problem is fixed anytime soon.