If this was in the US and was a public K-12 and you didn't at least filter Porn and Child Porn then you were in violation of CIPA. There would have been consequences including but not limited to loosing E-RATE funding, possibly federal and state funding, lawsuits, possibly having the state take over the school, etc. If this was a private school you would have lost some of your funding. Not sure if a proxy qualifies as a filter as, even though your logged which isn't a requirement, does not block those two mandatory categories.
The reasons for blocking other things are ad-ware/malware/spyware/viruses(virii?), cyber bullying, porn being posted on non-porn sites (forums, blogs, other social media), child predators, law suits because of over protective parents (or parents looking to make a quick buck off of the school), the list goes on and on.