This looks great! My only frustration is not with mitmproxy, but macOS -- setting a proxy in System Preferences->Network isn't a guarantee that it will be used by apps, and there doesn't appear to be a clean way to force all traffic through a proxy.
Transparent same-device interception is something where we still need to do some work on. I've started some work for Windows (https://github.com/mitmproxy/mitmproxy/pull/5543), but the top priority is HTTP/3 first. :)