This is something that I've been trying to figure out to answer questions like yours and others. I've had one thought that I have not yet tested would be to define two active proxies with the first having a broad non-proxy host:
<proxies>
<proxy>
<id>non-proxy</id>
<active>true</active>
<protocol>http</protocol>
<port>8080</port>
<username>proxyuser</username>
<password>somepassword</password>
<nonProxyHosts>*</nonProxyHosts>
</proxy>
<proxy>
<id>nvd</id>
<active>true</active>
<protocol>http</protocol>
<port>8080</port>
<username>proxyuser</username>
<password>somepassword</password>
</proxy>
</proxies>
Then tell the dependency-check plugin to use the nvd proxy. If that fails, another option would be to maintain a list of non-proxied hosts. I think keeping the list of non-proxy hosts (which is likely your internal network) is likely the more correct solution.
--Jeremy