curl using proxy in CLI doesn't return correct end URL

I'm trying to work out why this isn't working. I call this:

curl --insecure --cookie-jar foo-cookies.txt -L -A "Mozilla/5.0 (Windows; U; Windows NT 5.1; pl; rv:1.9; PageThing http://pagething.com) Gecko/2008052906 Firefox/3.0" --max-time 10 --connect-timeout 10 -LsI steampunkjunkies.com

..and it correctly shows me:

HTTP/1.1 301 Moved Permanently
Server: nginx
Date: Wed, 23 Jun 2021 06:57:46 GMT
Content-Type: text/html
Content-Length: 162
Connection: keep-alive
Location: https://steampunkjunkies.com/

HTTP/2 301
server: nginx
date: Wed, 23 Jun 2021 06:57:46 GMT
content-type: text/html
content-length: 162
location: https://www.steampunkjunkies.com/

HTTP/2 200
server: nginx
date: Wed, 23 Jun 2021 06:57:46 GMT
content-type: text/html; charset=utf-8
vary: Accept-Encoding

Yet when I do it via our proxy service:

curl --proxy x.botproxy.net:8080 --proxy-user 'myuser:mypass'  --insecure --cookie-jar foo-cookies.txt -L -A "Mozilla/5.0 (Windows; U; Windows NT 5.1; pl; rv:1.9; Gecko/2008052906 Firefox/3.0" --max-time 10 --connect-timeout 10 -LsI steampunkjunkies.com

I only end up with:

HTTP/1.1 200 OK
Connection: keep-alive
Content-Type: text/html; charset=utf-8
Date: Wed, 23 Jun 2021 06:59:56 GMT
Server: nginx
Vary: Accept-Encoding
X-Proxy-Ip: 35.209.112.86
X-Rate-Limit-Duration: 1
X-Rate-Limit-Limit: 100.00
X-Rate-Limit-Request-Forwarded-For:
X-Rate-Limit-Request-Remote-Addr: 80.85.84.52:46180

Notice no "Location" in there, which is where the URL goes to. Am I doing something wrong? Or is this an issue with the proxy itself?

I'm on Ubuntu 20.04.