Question: Should the whole process be able to be proxied? ie, should I be able to run VmWare View Client and have all traffic go via the corporate HTTP/HTTPS proxy?
If you have to put everything through the proxy server then PCoIP will not work, as it's UDP based and therefore can't be redirected like that - you don't mention what protocol you intend to use, but unless you can allow PCoIP traffic directly out of your network you're stuck with RDP. RDP should work, you need to ensure the connection server is correctly configured (secure tunnel enabled, correct external URL) but the tunnel is HTTPS and will automatically use your configured proxy server. Note that a lot of client types support PCoIP only - notably the set of devices referred to as "zero clients".