Man, I used Privoxy back in the day and it was amazing. Now, however, you need to set up custom certs so that you can MITM yourself, plus those things can only look at the initial HTML without running any JS. I don't know how less effective that would make filtering, but it can't help.
I'd love to be proven wrong though! Right now I run DNS-based filtering because, no, it's not perfect, but I really like having network-wide blocking.
Still, that you will need to MITM yourself is rather inefficient; it would be better for the proxy setting to include a "non-tunneling" option that you can set, instead.
Not being able to look at scripts is another issue, although at least for some purposes you may be able to inject scripts which change the JavaScript objects in order to disable or change some features.
I'd love to be proven wrong though! Right now I run DNS-based filtering because, no, it's not perfect, but I really like having network-wide blocking.