SOCKS Proxy/Tetherfi

Has anyone gotten the SOCKS proxy with TetherFi's wifi hotspot to work?

The HTTP proxy works fine for browsing the internet but it can't do anything else. The SOCKS proxy is supposed to work with UDP and get a connection to Steam's servers and games.

However, no matter where I set the settings for the SOCKS proxy, the steam deck will ONLY ever use the HTTPS proxy if it's enabled in my phone.