David,
actually this UpstreamProxy chain works only when transparent proxy mode is not used (in Win98 we have no other choose so its easy.) WebShield simply uses the specified server and port (in this case it would be Slipstream proxy at localhost 127.0.0.1 : 5400) as a HTTP proxy and does not try to connect to the destination servers directly. Exactly the same way as Internet Explorer does when you configure it to use a proxy.
If the browser is configured to use a HTTP proxy (webshield or other) it uses slightly different HTTP headers and is prepared to understand slightly different responses from the proxy. E.g. it forwards FTP downloads via the proxy or handles the user authentication differently and so on. In this situation it is fairly hassle free to introduce another "upstream" proxy in the chain. One, two or ten proxies in the row make a little difference. In the redirect mode, on the otherhand, the browser acts like no proxy is in the way. It is not such a great difference but it needs some efforts to be the "transparent" proxy in the middle. Introducing the Upstream proxy in this situation would require more modification to the request/response data and might lead to all kinds of incompatibilities (especially when Java applets and other beasts are involved). So we have decided to support the Upstream proxy option only for the Legacy proxy mode, and introduce other options (like not ignoring the local communication and changing the redirected ports) for achieving the same effects when in the redirect transparent mode.
Hmm, it seems I made it little bit more complicated that it actually needs to be, but hopefully you'll understand.
Cheers.
Lukas