Force all applications to use system proxy in macOS Sierra
By default, applications that don't have a build-in option to configure proxy settings will automatically use the system proxy. However, for certain applications (like Terminal), no proxy will be used. If you want to have a system-wide proxy that can't be circumnavigate, take a look at "VPN Plus". Basically it creates a "network tunnel" in the system preference, acting as a network device, and all traffic routes through it. I haven't done any research on that so I can't provide a lot a details about that, but that is a possible solution.

I can't find any reason to why would you want to use a proxy for Adobe or a VPN client. Adobe softwares generally don't require the internet to work, while VPN client connects you to a proxy.

One more thing - our school's IT manager sets up a school-wide proxy that allows us to access Google and Wikipedia (I'm in China). This is a far more efficient way than setting up on one's laptop.