Your request sounds valid and it certainly will be given an additional thought in one of the next product releases.
For now you can avoid Azure Proxy wizard, what you can do instead is to:
- Deploy a Windows-based machine (or use existing one instead) in your Azure Network that is connected to your local network
- Add it as a Windows server to a backup console
- Chose it in Direct Restore to MS Azure wizard on this step
Also, you seem to have quite decent connection to Azure DC, so, may we ask your to compare performance with and without restore proxy and share resulting data with us? This would be highly appreciated.