I know this might be well outside of the scope of adguard but I figured it wouldn't hurt to ask. It would be pretty useful if I can choose an .exe and have any network that goes through it filtered through a proxy of choice if the program itself doesn't come with that feature
Perhaps the introduction of this feature can be really useful. But unfortunately, I cannot answer how difficult it is to implement this function technically. I think you should try to create a task on GitHub marked with a feature request.
This is where the developers of the application will give you the answer directly.