The design doc for this feature may help to illuminate the design rationale behind this feature:
The proxy device is instance specific and can forward connections in either direction, between protocols, and when operating in non Nat mode doesn’t require a network connection between host and instance.
A forward on the other hand is more like a proxy device operating in Nat mode. But its defined at the network level rather than instance level and allows sharing an ip between multiple instances because it can forward different ports to different ips.