David,
I believe now you should be able to configure a proxy server instance on a per WebDriver instance. IE was the only bottle neck until sometime back. But thanks to Jim Evans, now IE also can be configured to use a proxy server per IEDriverServer instance. The same holds true with ChromeDriver as well.
With respect to adding user agents etc., I think that now becomes part of the Proxy Server. For e.g., in BrowserMob Proxy you could add request interceptors and within the interceptor you can enable/disable different aspects of a HttpRequest at will. So pretty much a lot of things should be possible with Proxy Servers such as BMP. The Grid environment is no exception as well.
I must admit I havent given BMP a try off late. I understand that the latest version of BMP has a lot of fixes. So its worth giving it a shot and see if it helps with what you are trying to get done.