Mac OS X Force Internet Sharing Traffic Through Proxy

I expect this is not going to be simple, if possible.

When you have a proxy server, either running on the machine itself, or on a device on the network, the client apps (e.g. whatever is going out to the inet) needs to direct its traffic to the proxy server (not just directly to the relevant network interface). This is configured either in the client app settings or at the OS level. However, when you set up a proxy at the OS level, as you show in your screen shot, that is probably set for the user session, and may not affect daemons (not sure).

The hotspot is probably running at a daemon level, and may not respect that proxy setting.

It might make sense to think of the problem differently. E.g. perhaps run ethereal or other packet sniffer, and look at the traffic hitting the ethernet port (which would include traffic to/from the OSX-based hotspot). (A packet sniffer is lower level than Charles, but that may be the price of getting lower level access to traffic.)