Got it working…
First off I had to update zabbix server to 2.4.4, which required update to Ubuntu 14.04 (well maybe it was doable on 12.04 but I needed to upgrade anyways). After that I had to configure the agents behind to proxy to each use their respective subnet proxy, even though they're the same:
server1 is 172.16.1.5/24, gateway (pfsense with zabbix proxy) is 172.16.1.254, so agent points to 172.16.1.254.
server2 is 172.16.5.5/24, gateway (same pfsense) is 172.16.5.254. I tried using 172.16.1.254 as proxy since these subnets are open in between, but that didn't work. Only when I set 172.16.5.254 as proxy it worked. Which I find weird, but okay.
Lastly, in zabbix web I had to setup each host with their internal LAN ip (i.e server1 172.16.1.5), not the external IP of the router as you would when not using a proxy. Strange that there are no info at all about this in the manual, or even on google. When you're a newbie at zabbix like me it's not really obvious.