Enabling WSL to use Windows proxy

The solution is rather simple. Edit %USERPROFILE%\.wslconfig and enter:

[experimental]
autoMemoryReclaim=gradual # gradual | dropcache | disabled
networkingMode=mirrored
dnsTunneling=true
firewall=true
autoProxy=true

Then execute:

wsl --shutdown

WSL should then work as expected and use Windows' proxy.