DHCP Proxy uses the VIP and not the management IP of the WLC. Is one of the WLC ports connected to your internal network and the other port connected to the FW? Again with DHCP Proxy enabled, traffic will flow to your internal DHCP server as long as you have all the dhcp server address configured on the interfaces and have ip helper-address setup on the L3 interfaces.
The Access Points are on the "corporate" network and use CAPWAP to an AP Manager interface defined on Port 1.
Guest WLAN's and non corporate WLAN's exit on a VLAN on port 2 straight into the internet firewall.
I don't therefore want to forward my DHCP packet out the VIP of the VLAN as it hits the Internet firewall and goes no-where. I want to send DHCP packets out of the management interface and back into the Corporate network where there are existing DHCP servers.