Now that we have ssh proxy support (#2041), adding socks proxy support would be much easier. This may even be auto-configured using libproxy.
See also network tracker ticket: #1590
For win32 support, we may need to revisit ticket:2127#comment:5 and r21648.
this ticket has been moved to: https://github.com/Xpra-org/xpra/issues/2105