Some shops are very aggressive with their proxy servers, using it to ban everything they deem "not work". If they spend enough time with it, they can reasonably effectively lock down their employees' computers. It's not perfect, but it can send a powerful message to employees: we are watching, and we don't want you to ever do anything on our computers that isn't work.
The downside is the demonstrated lack of trust, the vigilance required to block enough sites, and the need to have procedures in place to unblock sites when a legitimate site is inappropriately blocked.
And it's a slippery slope. If they ban Facebook, they probably should ban LinkedIn, Twitter, and even Stackexchange. The list of potential "not work" sites is enormous.
My current company takes this approach. They block a wide swath of sites to the extent that even personal mail (such a Gmail) is blocked. At one point, they had blocked a subset of Google - making it impossible for some of the technical folks to do research that was part of their job. It was a pain to get approval to remove that block.
Over time, people have figured out how to get around the block, such as using their own devices (phones, etc) to use any social media site they prefer.
But other companies rely on a different approach. Rather than make an ever-growing list of which sites are blocked, they allow the employee to use the computer in any way they decide, but hold them accountable to get their work done.
I strongly favor the latter approach, particularly for knowledge workers. This was the approach my company used to take, before we were acquired by a much larger, more bureaucratic company.
My sense is that as a Manager, I don't want to be telling individuals what they should and shouldn't be doing every minute of every day. That's micromanagement, and it doesn't scale.
Instead, I want to set the bar for what I need them to do, and when I need it done. I help set the expectations, give them the tools and framework to be successful, then I look at their output, rather than what they did along the way.
I like to treat people as adults, as professionals, to expect good things, and reward achievement. Those who cannot control themselves and abuse this trust get poor reviews, and get fired if they don't subsequently improve.
An "appropriate usage" policy, a little bit of training, and some common sense seemed to work well for our smaller company, without the heavy-handed approach that the current larger company prefers.