HTTPS encrypts headers, thereby preventing other people from adding headers to your request. Typically people are not adding X-Forwarded-For to their own requests.
I'm not arguing either point, I just pointed out that headers are independent of whether you use encryption. But now that I'm thinking about it for a sec, you might want to know what the proxy's exit IP is, and if the proxy adds an XFF Header then you just learn your own IP which wasn't what you wanted. If that is what GGGP meant.