I recall last time I looked that Sparkle custom proxy overides support was not working on Mac OS (only on windows)
In order to use the proxy, I would have to update the global settings on a machine, which then causes all kinds of issues with other apps. In my case, the proxy usage is application specific.
I have not dug into the matter to check which mac system calls are required, but I know it can be controlled at an application level as I used the proxy through curl and python scripts which dont need the global settings to be overridden.