I suggest we disable IP transactions while the user uses a Proxy!
Just to be on the safe side.
That's a good idea. At the very least a warning dialog explaining that it'll connect to the IP and send the information cleartext, giving the chance to cancel.
Note: I also suggest we show the warning everytime and do not give the user an option to disable that.
(Like a checkbox that is marked "Show this warning everytime I use a proxy and send an IP transaction.".
That'd be bad in my opinion, a user would disable it and forget about the proxy he's connecting through!)