Delphi Seattle DataSnap Client - Proxy server settings not working

I'm connecting to a DataSnap server using a generated DS client proxy class, via TDSRESTConnection. The connection works fine and I can call the server methods. I now want to connect through a proxy server, so I am setting the properties on the TDSRESTConnection object, but I can see that nothing is being sent via the proxy server, as if the properties are being ignored. My code is as follows :

var
  myDS: TServerMethodsClient;
begin
  DSRESTConnectionCfg.ProxyHost := 'localhost';
  DSRESTConnectionCfg.ProxyPort := 8888;
  myDS := TServerMethodsClient.Create(DSRESTConnectionCfg, False);
  myDS.ServerMethodOne();
  myDS.Free;
end;

I have also tried setting :

  DSRESTConnectionCfg.HTTP.ProxyParams.ProxyServer := 'localhost';
  DSRESTConnectionCfg.HTTP.ProxyParams.ProxyPort := 8888;

Both have no effect. However I know this code is working in the previous version of Delphi I was using which is XE6. Problem seems to be in the move to XE10.

Can anybody shed any light on this?