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You would definitely need to use proxy settings in NC profiles if the user needed different proxy settings to reach the SA (to establish the NC session) and to reach web servers once the NC session was started. For example, consider the case where a user is inside another enterprise's network. That user would need to use proxy settings for that network to go outbound to reach the SA. Once the NC session was established, the user would need proxy settings consistent with the target network to allow them to reach web destinations in (or through) the target network.
My business requires that all VPN users be restricted by our Internet restrictions on our outbound proxies if using a business-provided computer. The only way for me to do that is to ensure that they use our business's proxies once they have established a NC session.