BUG? DNS problem when connecting through proxy

Here's the scenario:

My computer is connected to a LAN with private address.
We access Internet through an HTTP Proxy. And the proxy supports CONNECT.
The DNS server in the LAN only resolves internal domain name to private address.
When I use SmartFTP with HTTP proxy, it tries to resolve the domain name first, thus resulting in an error messag saying cannot resolve DNS name.

To improve this, I think user should be able to opt to resolve the domain name on the proxy, i.e. pass the domain name "as-is" to the proxy.

Or, there is such option but I missed it? Any comments/suggestions would be helpful. Thanks.