I tried this on different boxes, the issue can be consistenly reproduced.
test env:

java version "1.8.0-ea"
Java(TM) SE Runtime Environment (build 1.8.0-ea-b255)
Java HotSpot(TM) Client VM (build 23.0-b09, mixed mode, sharing)
FF 7.0.1/IE9

Steps:
OS:Win7(x86)
1. In Java Control Panel configure the automatic proxy file:Java Control Panel -> Network Settings -> Use automatic proxy configuration script:
http://wpad/wpad.dat
2. in FF(7.0.1), disable bowser proxy and open any webpage containing applet, as I am in oracle network I used a local one (attached)
 reproduce.html
or you can use below if on internet:

http://csis.pace.edu/~bergin/Java/applets.htm
3. Actaul Result: in FF class doesn't not get loaded and trace is showing no proxy was used downloading class
The info found in deployment trace:
network: Connecting http://java.sun.com/applets/jdk/1.1/demo/NervousText/NervousText.class with proxy=DIRECT
network: Connecting http://java.sun.com:80/ with proxy=DIRECT

4. Expected result(which can be found when using IE): proxy is used to access class resource.
The info found in deployment trace when using IE:

network: Connecting http://java.sun.com/applets/jdk/1.1/demo/NervousText/NervousText.class with proxy=HTTP @ jp-proxy.jp.oracle.com/146.56.234.215:80