Closes the socket handle for a proxied connection for the client.
CloseProxy is a method used to close the socket handle for a proxied connection for the client.
CloseProxy ensures that the association for the UDP socket handle is removed from the proxied connection in TransparentProxy. CloseProxy is used in the Disconnect method and when freeing the UDP client when the TransparentProxy property has been assigned and opened in a previous call to Connect.
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