I've added a warning similar to what Martin Sleziak suggests:
The warning looks for words1 that include the string proxy and later edu2. You can see the regex I used along with some tests at regex101.com. It shouldn't catch examples of "proxy" found in the post body. Unfortunately, it doesn't pick up all listed proxy links nor does it rewrite the URL for the user.
Please let me know if there are any problems with this warning or if I should change the regex to warn about a wider range of URLs.
Footnotes:
- As defined as a consecutive string of letters, numbers, dashes and/or periods.
- For this site, most proxies seem to be associated with educational institutions.