The most important scenario to test with any proxy code change is tor, I
suspect 99 percent of the users of proxy functionality use it for that.
Please make sure that stays working securely.

I'd love to hear some of the use cases for all the exotic proxy options,
I'm a bit in doubt whether all that complexity belongs in bitcoin instead
of some network tunneling tool or the socks server, and though I'm not
against merging this, I'm a bit afraid of forests of never-used and
never-tested combinations.