I wouldn't necessarily deploy an MX as a proxy. The MX does have HTTP caching available in the Web Cache options, but only supported in models with a physical disk (where the cache lives) and only works on static HTTP content, and is meant more for sites with low Internet bandwidth (like under 10Mbps) and the need to cache the static content.
The MX is using Squid in the background, looking in the HTTP header to see if the content is cacheable or not, and if not, it won't. So much more of the common Internet traffic is now dynamic in nature, serves up content from many different URLs, and is all generally marked as non-cacheable.
But do you really need to cache dynamic content (probably complex and expensive) and/or deploy an actual proxy server (becoming antiquated except in certain use cases), or can you deploy the appropriate content filtering, L7 firewalling, IDS/IPS and traffic shaping rules (all simple and included with any MX Adv Sec license) to address the requirements?