Are you really sure FreeRDP doesn’t support /proxy args on Windows? There is a specific issue for it in 2020-12 saying it used to work, and then FreeRDP claims to have fixed it.
I still think it would be great to have SOCKS as an available type on Secure Gateways, like my original post here in order to centralize management, but the “Default or Alt-key” did work for what I was doing.
Side Note: I would be pretty excited to have the FreeRDP version, though for slightly different reasons.