Kevin Holman has posted a couple of powershell scripts to simplify enabling proxy for SCOM 2012 agents, proxy always on is a particularly handy find:

Turn on agent proxy for all agents where it is disabled:
get-SCOMagent | where {$_.ProxyingEnabled -match “False”} | Enable-SCOMAgentProxy

Turn on agent proxy as a default setting for all new agents to be deployed, never to have to mess with this again:
add-pssnapin “Microsoft.EnterpriseManagement.OperationsManager.Client”; new-managementGroupConnection -ConnectionString:scomserver.domain.com; set-location “OperationsManagerMonitoring::”; Set-DefaultSetting -Name HealthService\ProxyingEnabled -Value True