I found a hint to the solution in Ubuntu Forums, where a user sent a link to Gnome Developer Center explaining the configuration for Gnome Shell. My solution explains what to do for Unity.
You will need to install dconf-tools if you don't have it yet:
sudo apt-get install dconf-tools
Then run the tool (for example, pressing Ctrl+F2, then typing dconf-editor and pressing Enter).
Expand the key system on the left pane and click on the proxy key. On the right pane you will get the place to enter the list of ignored proxies (ignore-hosts).
In the key proxy and subkeys of it (ftp, http, https and socks) you can configure more proxy options that are not available in the new-shiny-but-almost-useless GUI.
Don't forget to log out and log in again to make the configuration active!
The only difference for Unity compared with Gnome Shell is that the keys to be modified for Gnome Shell are in the org.gnome.system.proxy key.