The proxy adds some latency overhead. Consider whether a client library, invoked directly by the application, is a better approach.
Consider the possible impact of including generalized features in the proxy. For example, the ambassador could handle retries, but that might not be safe unless all operations are idempotent.
Consider a mechanism to allow the client to pass some context to the proxy, as well as back to the client. For example, include HTTP request headers to opt out of retry or specify the maximum number of times to retry.
Consider how you will package and deploy the proxy.
Consider whether to use a single shared instance for all clients or an instance for each client.