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Currently Webdriver JSON Wire protocol supports setting a proxy using proxy capability (https://code.google.com/p/selenium/wiki/JsonWireProtocol#Proxy_JSON_Object). IMO setting a proxy is quiet useful so it's strange that Webdriver spec doesn't describe that.
In addition, I think proxy support should be provided as a required capability. I've used proxies in two primary use cases. One is for request header injection for things like HTTP Basic authentication via tools such as BrowserMob Proxy. The second is to prevent DDoSing a server by ensuring all traffic is directed at a local caching proxy. While it's possible a driver may not provide per-connection proxy configuration, I think as a caller I'd like to receive the error rather than have the connection proceed over a non-proxied connection. Then I can make the determination whether to proceed. I certainly don't want to invoke FUD, but I could envision a situation where the proxy is intended to do some request massaging with sensitive data that could be otherwise leaked if simply ignored.
Specifying proxy may require capabilities dictionary to allow nested dictionaries: https://www.w3.org/Bugs/Public/show_bug.cgi?id=27103
PR for this in https://github.com/w3c/webdriver/pull/72
landed in https://github.com/w3c/webdriver/commit/5b8f75d53ba2c158c5afe44641f03e1784e069e5