There are many scenarios in which you would want to add some kind of proxy and there are plenty of products out there (hardware and software). We use a FortiGate as a gateway / router / firewall combined. With subscription you can add features like Anti-Virus, IPS, SSL Inspection, Web filter, DLP and more.
That being said, I highly recommend using at least some kind of firewall except for the built-in firewall the OS (if it is windows) has. In general letting a server browse freely is not such a good practice, of course this depends a little bit on how valuable is the information on the server or the services running on it.
Speaking of FortiGates (I do not really know the Sophos ones, because we only use the UTM module of it), even without subscription you can open / close specific ports, forward ports etc. It gives you plenty of flexibility to control between your local subnets or the internet, which IP can talk to which etc. For blocking / allowing specific URLs however you would need the Web filtering functionality (subscription).
Benefits
- Fine grained control over the traffic
- Increases security a lot (especially when adding functionality like mentioned above)
Downsides
- Latency (depending on the product)
- Configuration
DISCLAIMER
I am not affiliated in any way with FortiNet / FortiGate, just a consumer using them and being happy with them.