Connecting to WebDAV on OS X 10.8.x or Windows 7 will refuse authentication, although nothing is printed to the logs.

Connecting on an older version of OS X (tested 10.6.x) works without a problem.

Steps to reproduce on OS X:

1. Open Finder
2. Hit CMD + K to bring up the 'Connect to Server' dialog box
3. Enter the URL http://<path-to-confluence>/plugins/servlet/confluence/default
4. When prompted, enter your credentials

On 10.8.x

The Finder dialog box will shake and prompt for authentication again

On 10.6.x

Finder will open Confluence's page/attachment structure as expected

Workaround

Third party clients such as Cyberduck work correctly.
As an example, to connect to _http://localhost:8090/confluence_ you'd use these details:

Server = URL before the port number
Port = port number
Path = URL after the port number