Honestly, spending the extra time to check this is pretty wasteful. And as mentioned, companies typically will not bother checking if someone is attempting to log in through a proxy. Even then, proxies do not hide people as well as they think they do.
If there's ever a security infringement caused by a user behind a proxy, it can actually be traced back pretty quickly.
Public use Proxies will normally include a header that contains the real IP address of the user. And privately owned Proxies are simply relays that have been set up. Those can still be traced back to the source. It's harder, but it's not a fool proof plan for a hacker. Now a days, it's just a lot harder for script kiddies to troll people who know what they are doing. And the good hackers are more interested in non-harmful jokes. Like what happened to Xbox Live last christmas when the new Call of Duty came out.
A game companies biggest concern will normally be DDOS and DOS attacks. And there are some pretty clever software methods to reduce their threats.