you'd first need to create an extension attribute that returns the status of that proxy setting. then, you could create your smart group based on the extension attribute.

I just tested this as an extension attribute:

#!/bin/sh
proxystatus=$(cat /Library/Preferences/SystemConfiguration/preferences.plist | grep -A 1 Proxy | grep -o 1)
echo "<result>$proxystatus</result>"

If you make a Smart Group based on proxystatus is 1, it should do what you're needing.

Thanks!

I can't get this to work on mountain lion, any recommendation?