CS2D itself doesn't support proxies because.. you know.. proxies for shooters (or games in general)? that's a super bad idea because your ping will become super high and the game unplayable. unless you have a really good proxy server close to your or the servers location.
why do you want to use a proxy for playing anyway? it makes no sense (besides evading IP bans or hiding your real IP...)
VPN should work (because it works with everything) but the server has to setup the VPN because that's how a VPN works.
I don't know why anyone should want to use a VPN for gaming though. there's no secret traffic between you and the game server that must be protected (well.. maybe rcon passwords but that's it) + VPN can lead to slow downs as well