TXDataClient should support HTTP(s) Proxy

Users working with TXdataClient based application often have rules for
accessing Internet that include the use of (sometimes authenticated) proxy.
So far, I cannot see any EASY way to deal with such environments when using TXdataClient.
Perhps I am missing something, in than case couple of words in Docs would
be helpful.

You can already do that, by accessing the underlying Sparkle THttpClient object (TXDataClient | TMS XData documentation) and setting its proxy settings (Http Client | TMS Sparkle documentation)

This feature was implemented.