Issue appears since 8u40 b06
It looks like issue has been caused by fix 8054455 " javaws fails to get proxy from browser settings if browser is set to use system proxy ( linux )"
URL.openConnection() call made inside sandboxed application fails with:
java.security.AccessControlException: access denied ("java.lang.RuntimePermission" "getenv.http_proxy")
Probably we need to add by default permissions "java.lang.RuntimePermission" "getenv.http_proxy" to be able to read system proxy settings for fix 8054455