My experience with Check Point gateway as a Webproxy ends up in using another specialized vendor for such a solution.
You‘ll get only a little bit more security but the Check Point proxy feature has not so much functionality and some limitations:
- some authentications are not working
- throughput is bad (SecureXL problem with proxy sk92482)
- NAT problematic in high traffic environments
- no forward proxies possible (example: sent website A to upstream proxy A and website B to upstream proxy B)
If you really need a proxy solution then go with a specialized product like SQUID or another one. If not using proxy you‘re fine and secure with your Check Point gateway and using all security features you mentioned.
How to configure Check Point Security Gateway as HTTP/HTTPS Proxy shows most of the limitations and configuration.