More investigation on this feature:
Linux:
libcurl obeys both "http_proxy" and "https_proxy" environment variables. Playlist downloading should be fully functional.
HTTP stream playing can be done via proxy only if the VLC option "http-proxy" is set.
Could not set the HTTPS stream playing via proxy
Windows
The libcurl port for Windows ignores the proxy settings in Control Panel.
Similar to Linux, HTTP stream playing can be done via proxy only if the VLC option "http-proxy" is set.
Could not set the HTTPS stream playing via proxy