Xojo URLConnection and AuthenticationRequested

I think that is a standard sequence. Servers are basically designed to talk to Browsers.
Logging in manually from a browser window, the server would keep presenting the User/Password request until you got it right or you pressed Esc to abort. If you aborted, you would get the error page.
When you automate the process, if the id/password is wrong, your program needs to figure out why and try something else.