Let's take as example HTTP item.
What we can do:
a) Specify HTTP proxy
b) Leave it blank.
At the same time, we can specify system wide env variables for HTTP proxy described here:
In that case, even if we create HTTP items leaving Proxy parameter blank - Zabbix will use system wide variable and we won't be able to create some items that should not use proxy.
It is possible to specify additional system env variable NO_PROXY='list' but it could make some difficulties to add those let's say when we are moving hosts between proxies.
Instead we could add an option to choose in parameters of an item to exclude system wide proxy setting.