Although I can imagine some technical reasons it is very non-intuitive to add WFS server in a very different way (by adding an Interop connection) than a WMS or WCS server ("add GIS server").
Knowing that in ArcToolBox contains a "WFS to feature class"-tool already exists it can't be that hard to implement an "add WFS connection" directly in ArcCatalog. (preferably with some modifications to the interface of this tool: why do I have to type the "service=WFS", "request=getcapabilites"and version="1.x.x" myself?)
Because of this difference the way of configuring a proxy server is different for WFS servers, although the manual says: "When configuring a proxy server, all Internet connections to GIS servers (both ArcGIS and ArcIMS servers) will utilize this proxy server". That's ArcGIS and ArcIMS indeed, but what about OGC?
