Nope. Not sure where you got that from. Neither GNOME nor libproxy knows about that environment variable, so it’s just going to be ignored if you set it.
Use:
$ gsettings set org.gnome.system.proxy.socks host example.com
$ gsettings set org.gnome.system.proxy.socks port 1234
$ gsettings set org.gnome.system.proxy mode 'manual'
This will break in the future; you can follow this issue if you want some heads-up when that happens.