This is not really for security, but to controll who is allowed to go through the firewall. The bigger a company the more hierarchies and privileges are to be considered. And allowed internet access is a kind of stripe on your shoulder. Another similar thing are mail atttachements, nothing, only pictures, documents, archives, etc. So these firewalls' purpose is more to secure the internet against the employees ;-)

In fairness, both these measures, proxy passwords and limiting outbound attachments, can help to isolate system compromises inside your corporate network. Once your network is compromised, measures like these can help stop the infected systems from turning on systems on the outside of your network to infect them.