As long as the reverse proxy is entirely transparent from the Syslog-ng Agent for Windows then this solution should work.
As for support of such a solution, One Identity does not test scenarios such as this as part of regular processes and we do not provide configuration details for configuring a setup such as this.
If any errors arise when using the reverse proxy the issue would need to be recreated without the reverse proxy in order to investigate and hopefully resolve said issue.
If, when the reverse proxy is removed, the issue is mitigated, then the reverse proxy would need to be investigated by the on-site team as this is outside the scope of One Identity Support.