I think maybe you would have better discussion in your native language section..
Proxy is just an application/service just like any other be it dhcp, dns, ssh, httpd... it listens on an IP, and then does something with something that talks to it on the port its listening on.. Proxy normally listens on 3128... So client can directly send traffic to the proxy.
Or you can do transparent mode where firewall listens for traffic on say port 80, and then sends it to the proxy port..
Pfsense is not a hardware firewall/router running a very limited IOS sort of OS, like a cisco or juniper or something... It is customized version of freebsd OS, to be easy to use/manage firewall/router - and yes is can provide other services like IDS, dns, dhcp, Proxy, etc.