The permission statement is too vague in this article. I would not recommend anyone grant "CONTROL SERVER" to a non-sa user to allow the user to run xp_cmdshell. If you do then they will run xp_cmdshell as the SQL Server service account, not as the proxy account.
To make the non-sa user run xp_cmdshell and use the proxy credentials specified, (after you set up sp_xp_cmdshell_proxy_account), you would need to follow this KB http://support.microsoft.com/kb/890775/en-us
Essentially by following the code in that article you are letting the non-sysadmin account have access to the master database, and granting explicit permission to the xp_cmdshell procedure to that one user.
USE master
GO
-- Grant database access to the SQL Server login account that you want to provide access.
EXEC sp_grantdbaccess 'nonadmin'
GO
-- Grant execute permission on xp_cmdshell to the SQL Server login account.
GRANT exec ON xp_cmdshell TO nonadmin
GO
To run a test I would log in as a nonsysadmin and run the following xp_cmdshell to see who I am, to see which account I'm impersonating.
xp_cmdshell 'whoami.exe'
If you get your proxy account returned, then you know you are using the proxy account that is specified. If you get the SQL Server startup account returned, then the user is either sysadmin, or has the CONTROL SERVER right.