Putting firewall logs into a DBMS isn't such a bad idea (analyzing them with SQL can be really handy), though I wouldn't want to put the DBMS on the firewall itself. A firewall should be a firewall, and nothing else, or else you're missing the point. Proxy servers are much the same, depending on what your goals with it are.

Web and Application servers might run their own database in small or medium scale deployments. In large systems, there are obvious advantages to running the DBMS on a dedicated system with a fast network connection to the system that actualy gets the traffic.

In any case, I would argue that if you're using an xSV file, you should probably migrate twards an SQLite solution instead. It's faster, not particularly more difficult, and will make any future migration twards a full RDBMS easier.