As we are discussing proxies, we will evaluate both the relay behavior as well as most of the other functionalities that it can support.  In terms of monitoring and filtering, a web proxy server can do content filtering. It is used in both industrial and educational institutions primarily to prevent traffic to sites that don't conform to acceptable use. This proxy also does content user authentication and provides detailed logs of all the websites visited. The logs generated by a content filtering proxy is an example of how this proxy can produce the kind of information we can use for indexing with Splunk.
This means that if we have existing  proxies, they already produce logs. The second implication is that there could be a chain of proxies involved in accessing the internet and each of these provides a level of abstraction and anonymity in accessing the internet. This is often seen in the case of connection laundering where the government investigators find it hard to follow the trail of where the connections originated unless they go hop over hop in the chain of proxies.
One of the things that this kind of filtering supports is the use of whitelists and blacklists.  As we may see from the configuration specification that Splunk provides, there are several entries that can be mentioned in both lists. A whitelist is one that allows access to those mentioned in the list. A blacklist is one that denies access to those mentioned in the list. Together, we can use these two lists to fully express what traffic is permitted and what isn't because they are mutually exclusive.
One caveat that goes with the use of proxy for content filtering is that, if the rules of the filtering are based on the origin server, another proxy could bypass these rules. Therefore, these rules are effective only when the origin server is not spoofed. At the same time, rules based on destination are more effective to write.
Proxies can also be used to enhance performance. A caching proxy server accelerates service requests by retrieving content saved from a previous request. Since these requests may have been made earlier from the same or other client, the time it takes to serve these resources is reduced thereby increasing performance. When there is high volume of resource requests with duplicate resources, these can be served with higher efficiency. Finally, a proxy can also be used in translation.
I've read up from Wikipedia and StackExchange however I will cover some differences with Splunk monitoring later.
 In the Splunk TCP monitoring, we are able to monitor on a single address:port endpoint.