Q:

How to omit the authentification dialog during URLRead?

When I use URLRead

Mathematica will popup a window like:
 
Actually I have given the parameters Password and Username in HTTPRequest, but they seem invalid. Any programmatic method to fill this form so it won't popup?

A:

V11 update
For new functions it is enough to use documented Interactive option:
URLRead["https://httpbin.org/status/401", Interactive -> False]

Broken for URLDownload so here's a workaround:
Authentication dialog for URLDownload / URLSave

Pre V11 era, URLFetch and friends solutions
There is an undocumented option DisplayProxyDialog which prevents that:
URLFetch[
    "https://httpbin.org/status/401"
  , "StatusCode"
  , "DisplayProxyDialog" -> False
]

As OP noticed it works for URLRead even though it does not appear in Options[URLRead] in contrary to Options[URLFetch].
When switched off you can handle 401 status code however you like, abort, prompt custom dialog etc.

I have not guessed it, WRI Support suggested it to my friend when he asked:

[...] Just informed by our development group that there is such an option (all-be-it undocumented):
"DisplayProxyDialog" -> False
to omit the authentication dialog. [...]

So I suppose this makes it safe to use.

