This claim makes no sense. What do they mean by they don't support ADFS Proxy (which is called Web Application Proxy [aka WAP] in Windows Server 2012 R2 by the way)? The SaaS is agnostic of the IDP infrastructure. Federation protocols in this scenario is entirely driven by the user. The application doesn't know if there is a proxy in the mix.
Besides, WAP are not used when a user is connected from the LAN.
We'll need to know a bit more about the infrastructure here to help you. So far, this doesn't make a lot of sense :(