Then you're in troubles.
Better handling for proxies per connection have been requested, over the years (in general, better handling of anything per connections has been asked here and there)
In this thread:
https://forums.mirc.com/ubbthreads.php/ubb/showflat/Number/257652/ it has been pointed out that during disconnection it is indeed not going to work automatically, but it's all scriptable with /proxy and disconnect event using $cid, not so trivial but doable.
