MCAS is an onboarded AAD app, and we show all of them in that list without special filters. In general we don't see MCAS / AAD admins apply session proxy to the MCAS app because the RBAC and logging capabilities give them the right level of activity visibility in the governance / admin logs.
In short, turn it on if you need to have additional monitoring & control you are unable to achieve using the native capabilities of MCAS. If that happens, please let me know about the scenario. :)