No problem, it's only my humble opinion
Sometimes, the data parameter in the constructor of proxies helps me when I want to configure them from external XML file. In that file I have for example endpoint address to my webservice. I parse that file with ConfigProxy (which is the first proxy registered in my app) and when config file is parsed and ConfigVO is ready to use, I register and configure the remote service proxies at once, passing ConfigVO into the constructor of proxy.
When you're deploying your application to the destination server, the endpoints of services will mostly be different than those from development server, so you don't have to recompile your app with new endpoint address, you just change them in config file.
Thats advantage of using data parameter in constructor.
I think there could be a number of situations where the data parameter would be helpful.
I don't know if you're using multicore or singlecore version, but i think better place for initialization or other things done when proxy/mediator is registered, is onRegister(). In multicore doing too much in constructor of proxy/mediator is a source of errors like "Multiton key not yet initialized...", so I learned to use onRegister() rather than constructor.