Go's CGI server implementation doesn't set $HTTP_PROXY so you're safe from that, but I still don't love how CGI uses environment variables.
Neither do I. They really only make sense in the context of a request which was actually to a CGI script resident in a document root - they're an exceptionally awkward way of describing other HTTP requests, especially ones which aren't being served from a document root. And there's a lot of information lost in translation, like the order and original capitalization of HTTP headers. (Not that these things are supposed to matter, but still.)