I am (was) running Cyber Security Pro 6.8.300 on El Capitan 10.11.6 (by choice), and looks like I'm kind of stuck with it since 6.9.x no longer supports El Capitan.
I was having the same issues with esets_proxy, sometimes spiking to above 100%, sometimes 200%, even 300%. The fan kept blowing. At first I thought it was my own fault because I use Chrome with way too many tabs, but that's how it is. But when i'd kill Chrome and any other open app, the fan would quiet down... but esets_proxy would remain fixed at a high number.
The impression it gave me was that there was something wrong with the high CPU utilization %. I don't believe the high spikes, I think there is something wrong with these figures, as if they would just accumulate on and on. The only way to get it back to normal was to kill esets_proxy.
I have now installed version 6.8.455 mentioned by Marcos higher up. Looking forward to see if the situation improves. Been a day now, and all is still running fine.
If v6.8.455 downloadable from https://forum.eset.com/files/file/23-eset_cybersecurity_en_10dmg/ doesn't make any difference, please raise a support ticket with your local ESET distributor. It is essential to provide logs collected as per https://support.eset.com/en/kb3404-use-eset-logcollector-on-macos-and-send-the-logs-to-eset-technical-support.