Caches are used to reduce network bandwidth and improve performance. If AOL did not use cache technology for HTML, a large part of the Internet backbone would need to double or triple in size. There is nothing mysterious or nefarious about AOL's use of cache.
...even if you change ISPs, every single http request will go through AOL's servers
If you have proof that AOL forces a former customer's computer signal to route through AOL's own servers even after that customer has switched to a different ISP, I would love to see it. It seems to me that would be grounds for a lucrative class action civil suit, not to mention grounds for AOL's competitors to sue it up the kazoo.
I fixed a computer yesterday that had this problem. The man had left AOL, and tried another dial-up ISP. He switched more recently to a cable modem, but still got download speeds of about 8K/sec.
After disabling AOL's proxy cache, speeds jumped to about 150K/sec. The cache appeared to route all his port 80 traffic through ie3.proxy.aol.com.
You could gather proof as well: Setup AOL on a spare machine. Use it briefly. Then add Zonealarm and see what it blocks.