Chrome not showing user override option when visiting site that require authentication

I have set Streaming Media and Download to "Authenticate" and when using Internet Explorer to go to youtube it will show the Proceed button which allow user to enter the user and password to continue to youtube video playback.

However, in Google Chrome the Proceed button will never show. It will go straight to youtube site and the video will not play because of the rule in effect. Chrome users do not get the chance to get authenticate to allow playing youtube video.

I assuming my firewall settings are correct since it worked in Internet Explorer but not in Google Chrome.

Does anyone can provide me with some solution?

Thanks.