Microsoft published a blog post detailing its position on proxy-based security for Office365 and cloud-aware security agents. The company said that proxy servers could cause performance issues, negatively impact support, and unwanted or unexpected behavior. Microsoft does not recommend using proxy servers and CASB is not recommended. Cloud Access Security Agent (CASB) can add additional security features in two ways. The use of the API requires some SaaS solutions. This means that the security features they provide do not work in other service. It means security for cloud based proxy may be more flexible, but it still requires customization.”]
Source: https://hackercombat.com/advantages-and-disadvantages-of-cloud-based-proxy/