Why is it so that when I set a HTTP proxy in the system preferences app, but some "my ip" sites still show my ip like in comma separated list in the first place? For example this one: http://my.ip.lv/ I dont remember having such issues on my Windows machine. What should I do to hide my ip totally and use only the proxy?
Proxies usually add an X-Forwarded-For HTTP header that informs the target web-server of the true origin of the request.
There are anonymising proxies available which do not do this - a quick Google search will find them.