That is also true, There are definitely more things that the proxy provide beside security.
It’s just in my case more interesting to do security when we don’t have a capacity issue. That’s all…
I think if it is possible to have a separate package that implements more advanced proxy features would have been great.
However I can understand Normis/MikroTik’s view on the matter, It’s still foremost a router… Beside how many “routers” have proxy and all the special functions that RouterOS have? I mean take a look at Cisco 
But as I wrote before if they can make these features easy then it would be great, That I think we all can agree on.
If not in this version then perhaps in the v4.0 when it is released.