Your first problem is understanding what the term 'cgminer' means

The cgminer you get from bitmain and from *hash is not the master cgminer, it is a fork with many and varied known ignored problems.

Master cgminer will not support extranonce for a number of reasons, including we don't support alt-coins and the stratum change adds another MITM security risk attack vector.

So if you wish to avoid the, long well known, problems with the non-master cgminers - use the master cgminer from me.
But no it does not support that stratum change just for that proxy pool.