Maybe my wording was a bit rough, but I still think that it would be better to have a separate proxy setting for that. An alternative solution could be to prioritize the direct votes, so that there is a way to vote for proposals, which the proxy doesn't want to support.
In this case, I think the better and simpler thing to do is to drop their proxying and cast their own votes.
That is one of the positive effects of the current logic. More people with proxies set will begin to inform themselves about how it all works and they may want to make use of the new possibilities too, which is only possible by resetting the proxy... :)