For example, the security software iBoss is able to detect if you are using a proxy.
Proxy Circumvention
Proxy attempts to circumvent your Internet security solution not only violate your organization’s policies, they are potential avenues for delivering advanced threats such as viruses, botnets and malware. iboss offers a multi-layered approach to defending against proxies and proxy applications such as Ultrasurf, Hotspot shield and others:
What I am wondering is how does this detection work? Does it look for headers in your request(s)? Does it analyze traffic patterns? Does it detect communication over specific ports?