MWG basically sets flags. A request comes in and is put into the Rule Engine and with the Proxy Control settings you change flags for your request. When the request passed the Rule Engine these flags are respected by proxy which does the outgoing connection. So basically the last change of a setting will be valid, e.g. if you turn off via Headers at the beginning of your policy and turn it on again at the end of the policy the proxy will only see that Via headers have been turned on in the Rule Engine and respect that when creating the outgoing connection.