Interesting topic as I have also jumped from Winproxy last summer (sooner rather than later) when I first read the announcement. What I found in my shopping was there were firewalls, and then to a lesser extent proxies, but few products that did both well. Wingate was the first one I stumbled upon that did both fairly well. Since my ADD was kicking in and I was tired of looking, I bought a license.
I'm already starting to forget things about Winproxy but here is my 2 cents on the pros and cons...
Winproxy was easier with regard to setting up ports and redirecting traffic to various machines than Wingate, but that ease came with limitations. Wingate is rather cryptic in this setup process. And in certain places in WG you cannot specify a port range where you would expect to.
WG has a better NAT.. it has more visibility than WP. And clients where you cannot specify a proxy connect more reliably. It was sort of hit or miss with WP, that is, most things eventually connected, but not all the time.
WG's DHCP works great (for my wireless) even though I had no idea how to configure it much less the terminology being used therein... I think I got lucky. I just set the IP range and it worked. The documentation could be better describing some of the DHCP settings.
In WG for the life of me I have never gotten incoming proxies to be viewable from within my network. I have to call external people up to make sure things are working. I think I am the only one having this problem however, because there is nothing in the forum on this.
WP has better filtering of various types, such as with RBLs and the like. Turn on too much and it slows down however.
* Banner blocking
I found that a dozen or so key URLs put in the ban list blocks 90% of third party ads and trackers. I haven't updated my original list in 6 months and its still working at a sufficient level.
That's all I can think of at the moment..