HTTP_PROXY variable for specific application - please review

Hello all,

I'm using SSL deep inspection through my Fortigate (FGT70G with FortiOS 7.6.7). It works well. The only problem is when applications do things that can't be allowed by any rule. So I've configured an explicit proxy on the Fort that does not perform SSL inspection. 

Some apps have no way to configure a proxy for them. For example, Steam. 
So I've been experimenting with some Bash variables. My startscript:

#!/bin/bash
export http_proxy=http://fw66.tux.lan:8081
export https_proxy=http://fw66.tux.lan:8081
export HTTP_PROXY=$http_proxy
export HTTPS_PROXY=$https_proxy
export no_proxy=localhost,127.0.0.1
/usr/games/steam

It works also fine. The firewall log confirms this, too.
My question is what do I need to watch out for to make sure that another application doesn't accidentally go through the proxy when it's not supposed to? Are there situations where this could happen?

Best Regards :)