As someone who's used a local filtering proxy (Proxomitron) and multiple browsers for a long time, I completely agree - browsers are getting more and more complex and it's difficult to use a plugin to block things that would have been fetched and loaded already by it. The fact that it works for all browsers on the system, and applications that incidentally include non-configurable browsers, is also nice.

On the other hand page modification that involves DOM manipulation/JS interactions would definitely be better handled in a browser plugin, since a proxy is more of a streaming filter device.

SSL is a bit of a pain (especially certificate pinning) since this is essentially a "benevolent MITM attack" but there are workarounds for it.