When you want to add HTTP headers meant specifically for an HTTP or HTTPS
proxy, and not for the remote server, the --header option falls short.
For example, if you issue an HTTPS request through an HTTP proxy, it is done
by first issuing a CONNECT to the proxy that establishes a tunnel to the
remote server and then it sends the request to that server. That first
CONNECT is only issued to the proxy and you may want to make sure only that
receives your special header, and send another set of custom headers to the
remote server.
Set a specific different User-Agent: only to the proxy:
curl --proxy-header "User-Agent: magic/3000" -x proxy https://example.com/