I didn’t argue with them, but kept using it on my personal kit.

I think it’s less useful, these days, as Apple is really battening down their I/O hatches. I know that Charles Proxy can miss stuff.

It would miss anything not using macOS high-level HTTP or socket APIs, right?

If you're concerned about apps surreptitiously phoning home, I wouldn't count on them using those, or otherwise respecting the system proxy settings.