Absolutely there should be firewalls at schools.
Schools are there for learning. They're not there for web surfing, for chatting, for social networking, for blogging, for foruming, or anything else of the sort. Does a firewall, generally one done poorly, potentially block educational material? Sure. However the educational material it blocks is generally rather small, especially compared to the material it leaves open AND when compared to the vast amount of non-educational things it manages to block.
For every kid that could use the internet responsably during school there's 9 who would be using the lack of firewall for facebook, twitter, myspace, flash games, gossip sites, etc.
Here'd be my question since you're using doing proxy stuff. The kids that use your proxy...do they use it to go to "educational" sites which are blocked by the firewall primarily, or are they using it to go to non-educational sites that are blocked?
If the primary thing they're doing is the latter, then your argument at the beginning of this about how its keeping them from some educational material is worthless because its nothing but a front to keep from seeming like a very stereotypical high schooler going "grr, the mean school isn't letting me screw off".
Not to mention, from the geeky side of me, it gives early practice to the enterprising Comp Sci students to learn how to use proxies.
I was one of those kids that didn't like the mean school letting me screw off, especially when I had an elective in my senior year as a "library assistant" which really translated to "sit in the library for an hour doing whatever you want". So, learned about proxies, learned how to connect to proxies, got to play a MUD every day during school. Knowledge came in useful later for educational purposes in college
But in a general sense...yes, high school computers should have firewalls.