As long as the vendor implements all the specs from [MS-ADFSPIP], then yes this is a supported configuration and AD FS features usually depending on the WAP should work as expected.
My understanding of the process is the following (and you can verify it in your environment - I don't have a lab at the moment).
For a request, we consider all IP addresses (as per https://learn.microsoft.com/en-us/windows-server/identity/ad-fs/operations/configure-ad-fs-extranet-smart-lockout-protection#how-it-works).
During a failed logon attempt, if we have all IPs in the familiar list for the user, then we increment the Familiar IPs counter. If at least one IP is unknown, then we increment the Unknown IPs counter.
So multple proxies should not affect your protection.