System-wide SOCKS Proxy Settings?
There could be a couple of things happening here. OS X support SOCKS v5 but your SOCKS server might still be on v4. The difference is that v5 also routes UDP through the proxy but v4 doesn't

Try traceroute -I destination which will make traceroute use ICMP echo instead of UDP and see if you get a different route.

curl should be using the proxy if you specify it. Try curl --proxy socks5://proxyhost.examplecom:portnumber