Requests coming over a proxy may use a HTTP Keep-Alive connection between the server and the proxy, this connection could be shared by multiple clients so connection based caching should be disabled for proxy requests.

From w3.org: -

The Via general-header field MUST be used by gateways and proxies to indicate the intermediate protocols and recipients between the user agent and the server on requests, and between the origin server and the client on responses.

http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html#sec14.45