In general, there are no issues when using a Proxy. The Agent simply routes through the Proxy before going out to your Enterprise Server and can use HTTP or Socks Proxy. Use whichever port the Proxy is configured to use; Port 8080 and 8021 are common HTTP Ports, whereas SOCKS Proxy 4&5 usually use Port 1080.
Since the communication is encrypted, there is no real need to use a Proxy. Once your customer realizes they cannot sniff out the packets to see what it contains, they will realize the Proxy is of no value to them.
A web filtering software is a wiser choice.