找到答案了,访问回环地址的确是是会忽略代理。
Both System.Net and IE ignore all proxy settings for requests sent to localhost/127.0.0.1. Use your machine name or a non-loopback IP address instead and your proxy will work just fine.
不过我是纳闷,既然会忽略,为何还要给WebProxy的构造函数加一个BypassProxyOnLocal。