DO NOT expose the WSDL of ESB proxy service. The use case for exposing wsdl to allow users to get to know the service contract. You can host the wsdl in a separate location and provide that in the APIManager.
But i think, when we host a WSDL from APIManager, it's port bindings need to be changed according to the gateway node.SO,the requests will be routed via gateway..But that feature is not available in the released versions..We will consider that in the future release.