Hi,
you are right. JUNOS does, by default, only respond to ARP queries for IP addresses that are directly configured on the interfaces. If you use NAT with different IPs, you have to manually enable ARP responses by issuing the proxy-ARP command you mentioned.
It was also the ScreenOS behavior to do this automatically, at least for MIP, VIP and DIP objects. Not in case you were using destination NAT.
I don't know the reasons why you have to do this manually. A possible explanation would be that in case you define your NAT rules based on zones and you have more than one interface in that zone, JUNOS would not know on what interface you would like to respond to ARP queries. There might be other reasons too.
In fact it is one of these thing you don't care about if you know it. I agree, that this is a little bit unfamiliar for many that come from different firewall systems.
Regards,
Dominik