It's not that Steam can detect it being a proxy (it can't detect mine) but when it comes to paying, it will refuse any credit card that doesn't belong to that address. It used to work if you lied about your country (saying your credit card was issued in the US) but now they do a country check as well and for some weird reason, if you're an European in the US, you can't buy Steam games as a result.
Also, your Steam account gets tied to a country so you're screwed from the start really. Even if you're a European that moves to the US, it will keep prices in Euros.
There's one side door: make a new account WHILE being under the proxy. Then use that account to buy a game using Paypal (no country check) AND gift the game. This works but I fear it may be risky because if Valve detects this behaviour, it might get your main account closed down.
An easier solution is to use a UK proxy because UK prices are pretty much the same as (or even lower than) US prices. You can still buy a game using a Belgian credit card if you're in the UK -> this is European law :). Then it's even 100% legal!

Wow, that's very cool. I use the other retail services as well, but I own by far the most games through Gamersgate. Very good support.