Very disappointed with the removal of option in the UI. Using the CLI tool "networksetup" is ok by me, but the UI really makes it faster.
My usecase is toggle local/remote Proxy servers listening on different ports. Each instance and listening port is tied in to a set of ACLs (allow/deny facebook, banking, forums, etc..) - look into Squid and using multiple configuration files.
All versions of Windows and Linux doesn't have this feature. They don't have any equivalent of this tool. Only found on macOS. Not very happy at the moment.