Unable to manually install the http_proxy module
Looking at the files for the 8.x-1-x branch, I noticed that those files are essentially the files for Drupal 7, not Drupal 8. Even the https://ftp.drupal.org/files/projects/http_proxy-8.x-1.0.tar.gz archive contains file for Drupal 7.

One of the differences between the versions for Drupal 7 and Drupal 8 is that for Drupal 8 the http_proxy.info file should be replaced from a http_proxy.info.yml file.
Since Drush uses the content of that file to understand if the directory contains a module, and to retrieve the information about that module, without any .info.yml file with the information about the http_proxy module Drush is not able to find it in the already downloaded modules. That is why it keeps saying it doesn't find it.

So, to answer your question: No, you don't need any particular trick to download and install modules on Drupal 8. It just happens the module has not been really ported to Drupal 8, and Drush gets confused.