So your proxy will ask the "sibling" one for HTTP objects and if the sibling does not have them - the MT proxy will downlaod them Not through the sibling?
So you need to combine the power of more than one web cache ? This can be done only using a new protocol that combines the caches themselves.
This looks like too much lines of code, could introduce many problems and instability. MikroTik OS is a small and fast Routing platform and anything too complex will ... make it into another product, so ... things are kept simple with RouterOS, as I have seen over the years.
Not having such crazy-a5s functionalities is more cost/benefit effective for most cases.
A way of combining the power of proxy caches is to use them in a tree-like structure with the most powerfull as the root.