We attempt to use the link proxy but it does look like there could be a bug in how we're building the URL, so that may be more specifically what you're referring to.
If there's a data-proxy-href attribute (which there seems to be for me) then it is using the proxy. We switch the link targets at click time.
But it just so happens (our posts crossed) that we do appear to be building the proxy-href link incorrectly (it looks like it could be double encoded).