I second this (although I'd put it under "Improvement Suggestions" rather than "Bugs"). I'll take a look at the source and see if I can add it in easily enough.
I've got it to work with proxy support, all you need to do is edit the file all.js somewhere in the tree of the K-Meleon directory. K-Meleon is just lacking the support of enabling a proxy from the front end, mozilla does support proxies.