Technically I think they are different beasts. Charles proxy is for, as you say, inspecting and debugging. Little snitch is for making a white/blacklist of connections.
That being said I 100% agree that Charles is a fantastic application.
Getting offtopic here - if I wanted egress filtering at the router level, what could I add to my network that wouldn't force LAN traffic through the same port? OpenWRT isn't an option on my router because the 802.11AC radios aren't (and probably will never be) supported.
Happy to add another {mips32,armv7} box to my network, though.
That being said I 100% agree that Charles is a fantastic application.