Some proxy will do that depending how the are caching things. This is actually a function that a wan accelerator does rather than a proxy. The risk you run is that the proxy told the server you got the packet but for some reason proxy can't successfully deliver the packet to your machine. This causes a massive issue in the communication stream. In most cases the session will be reset to resolve it and your machine will have to open a new one. I would go read about this concept on the sites that discuss wan accelerator design....most time you want wan accelerators software/hardware on both ends to really ensure things work well.