Selenium allows you to configure the browser proxy via desired capabilities. This is almost always going to be unsuccessful when using Sauce Labs, for tests either with or without Sauce Connect.
With Sauce Connect, the browser proxy settings are used and required to send traffic through the Sauce Connect proxy. Changing them at test setup makes Sauce Connect unusable.
Without Sauce Connect, it's very likely that the browser will be unable to connect to the proxy, either because it's internal to the customer's network, or because it can't get out of the Sauce Network first.
Customers migrating from their internal Selenium grids, especially large ones, often use proxy settings to control access to their dev environments. This leads to confusion and frustrating delays getting Sauce Labs to provide value. Currently, tests with customer-specific proxy settings start but are unable to connect to the proxy, making them fail in a way that looks like a Sauce Labs defect.
By returning an error when these proxy settings are used, it would be more immediately obvious what needs to happen.