Custom proxies do not apply to device-mode destinations

Author: sarahrudy

src/connections/sources/catalog/libraries/website/javascript/custom-proxy.md

@@ -6,6 +6,8 @@ strat: ajs
 
 Custom domains allow you to proxy Analytics.js and proxy all tracking event requests through your domain.
 
+The custom proxy setup for Analytics.js CDN or Tracking API do not apply to device-mode destinations since device-mode destinations require that the destination's native scripts get loaded onto the client, and their requests are sent directly to the destination. 
+
 ## Custom Proxy prerequisites
 
 To set up a custom domain, you need: