Why some request not redirect to Automatic Proxy Configuration on Mac

You're right, it seems that only web browsing apps like Safari, Chrome or Opera are using automatic proxy configuration, but others apps like Mail are not, Mail is not the only affected app, it seems all apps act like Mail except web browsing apps.

As to macOS version, I don't think this is about the version, mac act like this all the time, not only now, but anyway, my macOS version is 10.14.4 (18E226).

If I check “Socks Proxy” and set the proxy server address and port, then all Apps's network request will go through Socks Proxy. Actually this issue not just happen these days, it exists in all macOS version, even if before OS X renamed to macOS this issue remains, I just don't know why "Automatic Proxy Configuration" only works for Web Browsing Apps(specifically, only works for browsers), this is totally inconvenient to use a PAC for the apps like Mail. I think the network should be controlled by PAC config file if the user check "Automatic Proxy Configuration" option, the system should let the PAC file to decide if the network request should redirect to the Proxy or go through Directly.

Yeah, I think so, it's not because I don't know how to use, it's because macOS doesn't have this function at all. I'll send a feedback to Apple directly, thanks for providing the feedback link.