To set a proxy we need to change the GeckoPreferences.User[\"\"] and this is the same for all instances, for exemple:
GeckoPreferences.User[\"network.proxy.http
All GeckoFX browser controls running in the same application shares preferences (and cache, cookies etc). To run two GeckoFX web browser controls with separate preferences, the only options is to have them running in two different applications with two different profile directories.
Read here how to set profile directory: https://stackoverflow.com/a/20614986/2440