Currently, the only way I could set the proxy on WebView/WebEngine was to set an application wide proxy by setting the system properties either by using the Java command line or by using system properties (ie: System.setProperty("http.proxyHost", ...)).
WebEngine should also have a proxy property of type java.net.Proxy which can be set/get by the programmer using setProxy(), getProxy() and proxyProperty().

If the proxy property's value is null, then WebEngine uses it's default (AKA current) way of creating URLs and retrieving a page content.
If the proxy property's value is NOT null, then WebEngine uses this proxy value when creating URLs and retrieving a page