All MITM proxies I know require an enterprise CA trusted by the end-point. If that CA is on your machine the endpoint is probably owned by your employer. It is legal in most jurisdictions for your employer to monitor the usage of resources they have provided, be it computer or network.
I would never trust a company device, or company network, with anything I consider sensitive. Use your own device and keep it on cellular.
Also though I don't like it, employers in the US do have the right to open mail addressed to you personally if delivered to the office.