I recall this being missing in Android 2.x last I dealt with it, but I would have thought they added it by 3.0. And yet I can't find proxy settings anywhere on my newly bought Xoom. Is it just me being blind, or is it really not there?
I'm necro'ing this thread, but I found out that HTTP Proxy Settings from the market works just fine to expose the native Setting's Proxy page. I have no idea why it's disabled, but it works just fine for me! I just barely got it working, so I hope the setting is per WiFi network, as I'll have to clear it when I get back home, which would suck.
Not sure if this will work on the Xoom but on my phone I've created a Proxy shortcut using Any Cut. New shortcut > Activity > Proxy. Works well as long as you don't need proxy authentication.
Use Firefox mobile and go to the add ons section and install the proxy mobile add-on. After you install it, go to proxy mobile from your add-on and enter your proxy settings.