That's key for me. Many times I have the situation that only I can't locally resolve DNS, so I have to do this at the proxy end. This is a default option in putty and winscp for example.
At the moment, I need to enter the IP address of the endpoint I want to connect to, whenever I use a proxy (SOCKS5 in my case). Then, whenever the IP changes, I need to update the IP in my FTP Rush's Site config...