Per plugin proxy.

It would be great if there were an option in the plugin menu to set certain plugins to always use a proxy. Like BBC and Hulu. Has this ever been considered or discussed?

Nope, hasn't been considered yet. Maybe it could be implemented.

However, plugins like Hulu and BBC already use a service called Tunlr (if no proxy is set). This is automatic – you don't have to change any settings.