Dunno, ryck; I'm not even certain that my "understanding" is correct.
Good news….we may be getting closer. I now think the StartPage (SP icon) is the key to getting "Proxy" to work. Here's what I did:
1. Entered a search into the Safari bar in the regular fashion, which generated a Google list but appearing to have a StartPage front end. Each of the potential sites had a "Proxy" option.
2. I went to one of the sites by clicking on "Proxy".
3. I left the site and checked my cookies. The site had left one, which I then deleted.
4. This time I conducted a search using the same search criterion but using the SP icon.
5. It came up with the same list of sites, so I clicked on "Proxy" at the same site as above.
6. I left the site and checked my cookies. The site had not been able to leave one.