The lack of embedded proxy controls has been one of the complaints of Chrome and Chromium, which is why I still rely on good ole' Firefox for this sort of thing. The developers simply decided to leave it up to the operating system to handle proxying, which sort of creates a problem when you want to run a proxy for BitTorrent, whose short-sighted developers also came to the same lackluster conclusions. This is one area where Firefox is still clearly superior.
However, the Chromium platform exposes a Chrome Proxy API for extensions, which allows extension developers to create cool Chrome extensions that solve this problem. Out of the ones that I see in the Chrome Web Store, Proxy SwitchySharp stands out because the description says it uses the API instead of modifying the system settings.
This means that, with this extension installed, you can define which sites go through a proxy and which don't, and at the same time only limit the proxy to affecting that one instance of the Chrome/Chromium browser.
As an aside, for the developer wishing to learn more about the API, see Google Chrome Extensions - chrome.proxy