It's not impossible. It's just unlikely to be implemented because, a) few people use/require local proxies and you're probably the 2nd or 3rd person that I can recall wanting to use them in the last decade, b) it would require Kodi patching and we try to minimise that, c) there's a simple workaround (as you have now implemented).
A quiet voice like mine is finally raising -> I have always patiently, quietly waited for LE to be able to use a proxy. It first cam up in 2017 but things weren't that ... "far"....
I am 40 years old now and too old to be asking how to make a survey for that issue but would really appreciate if LE or the ConnMan developers consider to give LE such a basic functionality back.