Note on Party: I d/l'd it and installed (didn't bother trying to deposit...I hate that place) and checked the ports in use. While there were port 80 and 443 connections (which would be proxied) there were also other connections on a non-www port. This could be an issue if you're using party via a proxy and not a VPN since there's a strong chance that connection will still show them your real IP address.
Weather they care or not remains to be seen.
To verify yourself, the easiest way would be to download
tcpview (free) and fire it up when you log on to party. If you see party's .exe connecting to any address besides the proxy you're using, then they would know your real IP.
Note this would only affect a proxied connection. If you're using a VPN or logging into a terminal server to play, then this would not be any concern as *all* traffic would appear to come from your remote VPN or TS service's IP.
Edit: I did NOT try running through a proxy so I didn't verify that the other port used isn't being proxied (sorry for the double negative). It'd be useful if someone currently set up on a proxy used tcpview and reported back. Thanks.