And that's just an easy case - really if it has any network access at all it can come up with a clever way to route a request through the network such that the key comes back somewhere in the request. If you scan for it inbound too, the machine can obfuscate it.
Our agents are trained to be so intensely helpful and they have such intricate knowledge of how things work that they will do some incredibly clever tricks to do what you ask them to do.
edit: You may want to look into tokenizing proxies as the general application of this concept.
There's also an ability to create kits where you can setup credential injection into other services as well.
The main reason a "proxy-managed" env var is set is because most CLI tools assume if the env var is set, auth is set. If the env var is unset, it will assume auth needs to occur. Fortunately, most don't do a pattern matching on what the value actually is.