> Can it let me pick any visible HTML element on a website to filter out just by clicking on it?
The best it can offer is a CGI editor to change its configuration from the browser. I don't see how you could implement something like this: it's either interactive or a passive network element, but not both.
> Can it block content of a website without interfering with a `curl` request or a file download from a random messenger app?
This is really trivial, just don't proxy them (ie don't set the http_proxy variable).
All those things are trivial to do in a browser plugin but probably a total workaround-filled pain on any other layer in the system.