See if this discussion and answers resolves your use case.
How can I set an HTTP Proxy (WebProxy) on a WCF client-side Service proxy?
As for this...
But, I am not too familiar with the 2 cmdlet, how do I use New-WebServiceProxy but at the same time defining Proxy just like in Net.WebProxy?
Are you looking for what is the difference between the two?
One is a built-in cmdlet defined to be used in a specific way and the other is not. There is no such MS provided cmdlet called, Net.WebProxy.
(Get-Command -Name *web*) -match 'proxy' | Format-Table -AutoSize
CommandType Name Version Source
----------- ---- ------- ------
Cmdlet New-WebServiceProxy 3.1.0.0 Microsoft.PowerShell.Management
That is a raw Windows .Net class...
See these resources:
Web​Proxy Class
Definition
Namespace: System.Net Assemblies:System.dll, netstandard.dll, System.Net.WebProxy.dll
Web​Proxy Constructors
Definition
Namespace: System.Net Assemblies:System.dll, netstandard.dll, System.Net.WebProxy.dll
... that you can leverage in PowerShell modules / scripts.