It would be really useful to be able to exclude ranges of IP addresses and/or domain suffixes from the proxy where a proxy has been set up. It's quite likely that you might want to access sites outside your organisation (needing a proxy) but also to access sites within (not needing the proxy). This would increase performance and reliability.
It would probably just look the same as the similar option in browsers. A small library function could check for proxy use based on the required URL and a match against the values in the list.