Why is the firewall's function partial and the data stats not that accurate in proxy mode?

There are many types of data-traffic on the Internet: the Web, VoIP, Games, VPNs, UDP traffic (including DNS-requests) and so on. In the VPN mode, we control every packet of data that is coming from any app, but in the proxy mode we control only a subset of the traffic. Therefore, we can not guarantee full connection disabling for particular apps and the numbers that you see in Adguards statistics in proxy mode may be inaccurate.

Then, the proxy mode is bad?

Not at all. If you don't care so much about the statistics and the UDP traffic you can use it without hesitation.