When you navigate to Network > Web Proxy page, there are two different flavors of proxy support. One is for Automatic Proxy Forwarding and the other is for User Proxy Servers. This article will discuss this two different proxy features.
Automatic Proxy Forwarding is for the SonicWall to pass outgoing traffic through a proxy server. The only location for a Web proxy server supported here is on the WAN-side only and limited to one proxy server.
Note: To enable Web Proxy, please enable CFS on the related zones where clients are from [this is not necessary when using the WXA's Web Cache].
User Proxy Servers is for support of identifying users who access the SonicWall through a proxy server. This is normally for internal proxy servers (also supports WAN-side) and this does nowadays support HTTPS.
To identify users through a proxy server, you can refer to KB article sw10728.