In MWG 7 this is very simple.
There is a property "Redirect.URL" that is writable, you can set it in an event with any rule (usually done in the rule that has the Redirect action). In that event you can compile any URL with any parameters you like.
If anyone else wanted to know this :
Set Redirect.URL = "http://myinternal.server/exception.aspx?proxy="
+ IP.ToString (Proxy.IP)
+ List.OfCategory.ToString (URL.Categories<Default>)
+ IP.ToString (Client.IP)