I "fixed" this in 7.3.17, where there was a problem handling binary files through the HttpProxy (they were parsed for macros, which was wrong). I saw the comment that said "Do not process macros", noticed that macros were being processed, and made it so they weren't.

One of two things (or maybe both) to fix this:

1) Macros should only be processed if the content returned by the proxy is text/*.

2) Provide an option to not process macros in the proxied pages.

(1) would solve the binary files problem, and (2) would solve the possibility for XSS by proxying a site that knows what macros to use. 

In my opinion, this is still a bug and not an RFE. 

This is fixed for Macros in the template.

If you Macros to be processed in the proxied content, post an RFE.