No it is not supported by RouterOS, but I agree with macgaiver it depends what you want to achieve. In Cisco, WCCP is used with external Cache servers (Squid or Cisco Cache Engine), with RouterOS you can do things regarding Caching, but depending on scenario.
WCCP is very nice in that if a proxy becomes unavailable web-traffic is not affected. Also, it allows for multiple proxies to share the load etc - all features I'd use immediately if RouterOS supported it....
In the mean time you can do the following:
1) Use IP-->Web-Proxy and set your squid/caching server as parent server.
2) Redirect all packets outbound destined for port 80 via your proxy (excluding packets from the proxy of course).
You can also have a script that checks if the cache becomes unavailable and disables the rule.
WCCP is not only used for web caching, but also for Wide Area Network optimization such as Riverbed Steelhead appliances (http://www.riverbed.com). WCCP allows for an out-of-path configuration of WAN optimization appliances. Specific WAN optimization is something that RouterOS does NOT do. Check it out.