Scrapebox has a free addon called the malware and phishing filter addon.
This addon allows you to load in a list of urls, set your settings and then it will scan them against googles database of known malware and phishing urls. Since this is a google based service it does support proxies.
Using proxies is definitely recommended. There are many reasons as to why you might want to filter out malware or phishing urls. If your are using slow poster its subject to any exploit or weakness Internet Explorer (IE), and it can be handy for many other reasons as well.
Simply launch the addon from the addons menu at the top of scrapebox.