1. Should this work with both NAT and Proxy traffic?
Bandwidth Control works in the ENS driver, and I notice that when a client computer has been manually configured to use the proxy server, it bypasses the ENS driver (a NAT connection isn't made to youtube by the client) and bandwidth control doesn't get applied.
If you're able to, setup the WWW Proxy to intercept port 80 from the ENS driver, and then remove the proxy config from the clients. This will make the clients try to connect to youtube (or whatever other service you want to control) through NAT, but the connection will be redirected through the proxy anyway. The important thing here is that the connection does go through the ENS driver where bandwidth control can work it's magic.
2. Are the above settings optimal or should I change some of them?
They look fine to me. If bandwidth control worked like you expected when using NAT, then it should still work through an intercepted proxy.