It depends on the rules of the QoS and the interface you apply them. When you have a proxy server, traffic originates from the ZS itself.
The QoS queues are associated with the output interface.
But in 1.0beta12, Zeroshell puts the tagging into the mangle table in the FORWARD chain within iptables. So traffic from the router itself is not tagged for QoS. Without the tagging the traffic will go into a default queue level at the interface.
I submitted a patch to Fulvio that moves that QoS tagging to the mangle POSTROUTING chain so that traffic from the router as well as user traffic from the LAN are properly tagged for QoS. (That wasn’t actually the reason I made that change but it had that effect. The reason for my change was so that I could have QoS and network balancing at the same time).