Does MacOSX / Safari support HTTP/2 proxies, where the connection between Safari and the proxy is encrypted using TLS?
Chrome and Firefox both support HTTP/2 proxies: https://www.chromium.org/developers/design-documents/secure-web-proxy.
Although the network settings under "System Preferences" has an option for "Secure web proxy", it's a setting that's used to connect to HTTPS websites... It still uses an unencrypted connection between the browser and the proxy over which the initial HTTP CONNECT request gets sent.