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as you stated you should be able to easily remove those headers with the Event "Header.RemoveAll" and omit X-Forwarded-For and/or Via as the parameters for the Event. This will strip off the headers.
I think this behaviour is somehow default. As far as I can tell other Proxy solutions are working the same way out of the box without touching the configuration. I think after all it is easier to remove those headers for those customers who want to remove then instead of adding them if they are required.
As you stated this may be required in Proxy chain environments. I am not sure if we should change the default behaviour, however this should definitely documented in a better way, as it is not really obvious to the users.
In case you want to submit your request, please refer to
where you can file feature requests which will then be discussed and probably considered by Product Management.
Please let me know in case you need help to remove those headers.