problems with HTRequest_setProxy

I'm trying to control the use of proxies on a per request basis, by
calling HTRequest_setProxy. But this is not working, the call the
HTRequest_setProxy succeeds, but tracing through the code, the call to
HTNet_executeBeforeAll in HTNet_newClient results in the proxy value
being reset to NULL. I'm guessing this is something to do with the
profile i'm using ( HTProfile_newNoCacheClient ). If i use HTProxy_add
then everything works as expected.

Any tips ?

TIA
Simon