As far as I know the privilege to grant PROXY privileges is also not very well understood. I blogged about that some time ago.
In addion to the already highlighted issues with GRANT replication and grants can very well create an unwanted situation:
master> SHOW GRANTS FOR 'user'@'host'\G[Read more...]
*************************** 1. row ***************************
Grants for user@host: GRANT USAGE ON *.* TO 'user'@'host' IDENTIFIED BY PASSWORD