Some time ago there was someone from UT that commented on this and that due to the way in with the firewall & packet inspections work, a bunch of stuff would have to be re-written to support the Proxy firewall we all so desire.
So here's my solution.... in cases where I need a proxy firewall, I use Endian or Astaro. IN cases where I don't and my firewall is beefy enough (UT is quite bloated compared to others), I use UT. I love the product and have over 20 in the field... but it doesn't fit all the neads, unfortunately. However, I love how it does VPN so I use it a lot for that.
For solutions where I want to have UT and a Proxy server, I simply setup a separate Linux server (usually as a VM) and setup a Squid based proxy server on that, and then configure the firewall to only allow traffic on port 80 & 443 to come from the Proxy server... Dan's Guardian is a nice one to use.
Just my 2 cents...
Scott