I can't find any reference that indicates whether Wavefront proxy supports Unix domain socket? If not, is the Wavefront proxy source open-sourced?
I can't answer for Unix domain sockets (maybe someone from Wavefront can chime in on that) but the proxy is open-source and can be found here:
I browsed the source and found no mention of unix domain socket or any evidence of it. It is likely safe to say that it doesn't support it.