Minor point - pfSense is FreeBSD based, not Linux.
Proxy - install Squid - this will also allow you to block domains
Bandwidth shaping - pfSense can do this too (Firewall -> Traffic Shaper)
When you say you want "direct control" of the linksys - consult the linksys documentation. According to what you've posted the pfSense host is behind that, so has nothing to do with it.
IP Redirect - Firewall -> NAT -> Port Forward
If in doubt, read the documentation ;)