Not really "less secure" per se, but it is harder to do authentication on a tproxy, you tend to have to rely on getting an ip:username pair from some login thang (could be from your wireless setup?) and holding it - of course you either need a way to refresh it, or guarantee of binning it when a new user logs in.

Managing SSL is also harder with transparent proxies, but if you have a modern browser AND a decent proxy, you'll be ok.

Transparent proxying in general is a pain in the butt, but one we are stuck with.