We don't have this feature implemented.
As you say, you can implement a script that changes the active status of the proxy module.
You can use this as start point (warning: not tested!):
#!/usr/bin/perl
use strict;
use warnings;
use EBox;
use EBox::Global;
my ($service) = @ARGV;
if (not defined $service) {
die 'you must supply a value for the new proxy service status';
}
EBox::init();
my $proxy = EBox::Global->modInstance('squid');
$proxy->setService($service);
$global->saveAllModules();
1;