It depends what you mean by "correctly". For example, it is standard to have a "VIA" header inserted by a proxy and a common default for proxies to also include an "X-Forwarded-For" header which gives the IP address of the client. Obviously, a smart address checker will check both of those headers, as well as the incoming IP address that it is talking to. So, "correctly", for our purpose here, is actually "incorrectly", from the view of standards.

I have tried whatismyip.com and various others (with those headers configured off in my proxy) and none of them detect that I am using a proxy at all.