I have multiple internet connections requiring upstream/parent proxies and have recently successfully configured this on our Sophos SG430 UTM (version 9.3) by first adding the parent proxies (Web Filter Profiles -> Parent Profiles) and then selecting the applicable proxy in Profiles -> Filter Action.
This functionality is not available in Copernicus. Only 1 parent or upstream proxy can be defined in System -> Routing -> Upstream Proxy. Does anyone know when or if this functionality will be included in the new Sophos FW OS?