Can this only be done in the paid version of the program? In my free demo I see stars/asterisks in the some scan results.
Also, to search for a proxy, does the function "Check for open TCP ports (one or more, comma or dash separated)" in Options>Ports have to be activated?
As I said before, our product is not exactly a proxy discovery tool. The setting you mentioned will find open ports, but those are not guaranteed to be proxy ports, or that they will accept proxy connections.
You could either use the Remote Script feature and
use an instance of "MSXML2.ServerXMLHTTP.6.0";
or call console curl with the necessary parameters and analyse its response.
Or you could just find a proxy discovery/testing tool, there should be a few out there.