Actually, except for quick-and-dirty processing or images that need minimal adjustment for out-of-gamut colors, I don't see why soft proofing in Lightroom is of much use at all, given what one can do in Photoshop.
First off, what do you think an OOG warning is telling you? In either PS or LR, OOG can't tell how MUCH
OOG a color is, just that it's out of the output profiles color space. But so what? What you really want to see is what the OOG color will LOOK
like when run through the output profile. That's what soft proofing tells you. I couldn't care less about OOG colors, I do care a lot what the OOG color will look like printed...
But, aside from the fact that both PS & LR offer soft proofing, the main question is why the heck would you WANT
to print out of PS? It's old and creaky compared to LR's printing...sure if you are gonna process an image from PR to PS, it may be useful to soft proof in PS. But I would save the tiff and then print from LR because of LR's superior printing workflow. Even then I would still soft proof in LR because I could tweak a soft proof copy instead of having to spawn off another whole file...
I'll also say that from my point of view (which may be a bit biased because I had a little something to do with soft proofing in LR) the soft proofing environment in LR with proof copies and before/after and the full range of LR global and local color/tone adjustments is superior to PS's soft proofing environment. So, I guess I would turn it around and ask you since LR's soft proofing and print workflow is superior, why would you bother to soft proof in PS?