Hi there,
Maybe my explanations weren't clear enough. After having installed ProxyCap and inserted some proxy server in there + setup some applications to proxy rules, ESET Firewall doesn't acknowledge any connections happening within ProxyCap.
My setup is fairly simple, I've deployed a shadowsocks server on a DMZ seated Linux host and configured that proxy within my Windows based ProxyCap (Windows host seated in another network zone. running ESET Internet Security).
Even with a global DENY rule on the C:\WINDOWS\system32\pcapsvc.exe within the ESET Firewall, communications goes through.
Let me know,
Kind regards,
M.