I just navigated there and couldn't find the issue you are experiencing.
If Nev does not sort you out then the forum may need:
1. A procedure to replicate the problem – e.g. go to this link, then that one, then that etc...
2. What version of WinGate.
3. What authentication method.
4. Whether you tried a caching policy; a concept is shown below.
5. Do you have any plugins; e.g. KAV for WinGate / Puresight for WinGate.
6. When you try to use that Java control, are any Authentication Failures happening within the System Messages? GateKeeper --> View menu --> System Messages.
*You may also want to turn on debug logging in the WWW Proxy, replicate the error and then see what extra information is logged:
C:\Program Files\WinGate\Logs\WWW Proxy server\WWW Proxy Server.log