What's the point of the X-Frame-Options header?

I work on an application where users can embed their website within surrounding content by loading it in an iframe. This obviously relies on the X-Frame-Options not being set on the users website to work. I was asked by a client to create a reverse proxy because they didn't want to remove the X-Frame-Options header from their site for security concerns.

I setup the proxy and everything works but what's the point of the X-Frame-Options header if its as simple as creating a proxy to circumvent?

I understand the header exists to prevent clickjacking but if anyone can just make a proxy to workaround it... does it really increase security?

I don't come from the enterprise dev world, can you help me understand the reasoning behind why the IT department would be resistant to removing the header?

I noticed google.com and facebook.com also set the header, so it can't be completely pointless can it?

Thanks