You don't have to. Proxy handles the request and just gives response back to you signed with national cert. If you don't install it, your browser will just start complaining about every site.
At least that is how Bluecoat ProxySG[1] works at my employee.
Funny story, most of the machines / servers at my workplace weren't vulnerable to Heartbleed - but ProxySG was. AFAIK they built their own OS from scratch, too.
[1] https://bto.bluecoat.com/webguides/proxysg/security_first_st...