How can I verify whether different desktop applications are actually routing HTTPS requests through the configured proxy on Windows 11?

I am testing several desktop applications on Windows 11 that connect to different HTTPS/API endpoints.

I configured a proxy in Windows, but I noticed that some applications appear to use it while others seem to establish direct connections.

I have already checked:

Windows Settings → Network & Internet → Proxy

netsh winhttp show proxy

HTTP_PROXY and HTTPS_PROXY

The individual proxy settings available inside some applications

Task Manager and Resource Monitor for active connections

What I am trying to determine is which route each application is actually using.

Is there a reliable Windows tool or method that can show whether a particular process is:

Connecting directly to the destination

Using the Windows system proxy

Using WinHTTP proxy settings

Using an application-specific proxy

I would like to verify the connection path before changing the proxy configuration.

What I have tried:
Changing the Windows proxy affects some applications, but others continue connecting normally, which makes me think they are using different proxy mechanisms.