Is it possible to test and monitor proxy connection?

I have a proxy setting that I need to use to connect to a site. Is
there a way to monitor and verify that the connection to the url is
actually using the proxy settings?

One of the tests that I did was put in a fake username, but the web page
results were still returned. I’m not quite sure why the connection
would still yield data if the proxy settings are incorrect.

Any ideas?

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