I'd say that it's not quite as simple as that, because a lot of these places just don't have a useful LAN. Sure, a hospital might be expected to have an IT department that can configure proxy servers. But a small doctor's practice is unlikely to have its own server in any meaningful sense. And a freestanding Deutsche Bahn ticket machine on a semi-abandoned platform in Thüringen certainly won't.
Many of them will be accessing central servers somewhere else in the country; the protocols there may not work well with a proxy server. Obviously this is not an impossible or even difficult problem to solve but it's not necessarily cheap or trivial. It might be worth it in the long run, but that's hard to estimate. Big IT projects always run over budget so it's not surprising that things like this are low on the priority list. And sometimes maintenance of the gateway ends up being an extra point of failure that, when it breaks, prevents communication with the outside world.