I have QGIS 2.18 and QGIS 3.6 installed on my machine (running Windows 10) and I am able to add ArcGIS MapServer Layers to my project in QGIS 2.18 without problems, but in QGIS 3.6, using the same services used in QGIS 2.18, it returns an error:
Failed to retrieve service capabilities. Network error: The proxy type is invalid for this operation
I'm using the Add ArcGIS MapServer Layer... tool to add the map service to the project.
Here's a printscreen of the creation of the connection to the ArcGIS MapService:
After clicking in the Connect button, it returns the following message: