I've had my Chumby for a month now, and my workload is starting to die down and I'm excited to jump in. I agree that a proxy should be made available. If the swfs are serving from chumby.com, then they could host a server side file that acts as a proxy. I've done this several times to get around the crossdomain restriction, and since crossdomain security is becoming more of a hot topic, I bet we'll see restrictions tighten even more.
In flash, when loading the XML, I just call my server side script and append the URL of the content I want from a different domain:
xmlFeed.load("get_xml_01.php?url=" + url); //url is escaped
And then in a PHP file on the same server as my swf, I only need one line:
if($_GET['url']) readfile(urldecode($_GET['url']));
That's it. PHP returns the XML to the my swf file and the security restriction is effectively dodged. You can test locally without having to worry about the cross domain issues, but when it's live, and you don't have cross domain access, a proxy script like this works like a charm.
I'd like to offer the idea of adding this to the chumby servers, but obviously there could be a performance issue since the chumby servers would be effectively handling all of the XML requests. It would definitely help to create widgets using other web services.