Even though this isn't recommended best practices, because of the increased attack surface, you'll be fine. When you run a lightweight wallet it sends web requests and traffic to whatever remote nodes it's relying on for checking outputs, broadcasting transactions, querying prices if it does that. The servers it connects to would have your IP in their logs but even that being the case there are a lot of other layers of security.
The feds most likely don't care about whatever you're doing anyway. That's just my assumption based on the likelihood that you would already be running a full node etc if your threat model warranted it.
not using an isolated environment was your first mistake
using atomic wallet is your second mistake
if you expect an in-app proxy setting to secure your connection it's just a question of time until your real IP leaks
use the official wallet or feather
The feds most likely don't care about whatever you're doing anyway. That's just my assumption based on the likelihood that you would already be running a full node etc if your threat model warranted it.