When I run my wow traffic through a proxy as expected I get prompted for my authenticator key, but not again until I change proxy servers, or disconnect from the proxy.

Some testing I did:

If I login from my home network first time I get prompted for a key.
Any other logins are straight logins no key required.
Switch to a proxy first time I get prompted for a key.
Any other logins are straight logins no key required.
Disconnect the proxy.
Sign in from home network... I get prompted for a key.

I think blizzard is caching last authenticated IP. Similar to the dialup authenticator. I could be way off, but above is what I did to make me conclude this.