I think some of the problems people had with the built-in pinger had to do with not being able to (easily) set it to only ping for new posts;
whenever an existing post is edited/updated, it also sends pings. Mass edits of posts would result in pings being sent way too often, possibly getting the blog blocked. Some people would rather turn it off than risk getting blocked for excessive pinging.
I have never thought about using proxies for this, but sounds interesting.
I have been using a wp plugin called smart-update-pinger. It will only ping on a new post, and can write to a logfile.