KyroMaster,
I agree with you, but things are not always the way they should be

We use a library called wxWdgets, and this library provides us with their platform independent version of sockets. They also have wxHTTP for accessing http. Unfortunately, it looks like they do not support proxy.
I will check their code this weekend to see if there is something we can do about wxHTTP. There is a support for this environment variable, but I have to check closer the proper way to use it.
Ed2k sockets in aMule are coded independently of wxHTTP. The correct approach would be that wxSockets had proxy support inside them. But wx developers have never showed any interest in adding this functionality to their library, not that I know of. In principle, the aMule team code could be used as a starting point, although there may be some license issues to deal first (aMule is GPL, wx is not).
In fact, the HTTP functionality you loose is not a show-stopper. You can get the server.met by hand and copy the file to the proper location. Please do that and report any problems with ed2k sockets.
Cheers!