Let $f:X\to Y$ be a morphism of ringed spaces. We define a functor $f_!:\mathcal{O}_X\mathsf{-Mod}\to\mathcal{O}_Y\mathsf{-Mod}$ as $$\Gamma(U,f_!\mathscr{F}):=\{s\in \Gamma(f^{-1}(U),\mathscr{F})\:|\: f|_{\operatorname{supp}s}:\operatorname{supp}s\to U\text{ is proper}\},$$ where we say that a continuous morphism (between general topological spaces) is proper if it is universally closed.
Defined in this way, the proper direct image only seems to be used for locally compact spaces, where we have all the formalism of Verdier duality. In SGA4, P. Deligne says that, for schemes, the derived functors of $f_!$ are pathological. (Section XVII.3.1.) This is possibly why in étale cohomology and for $\mathcal{D}$-modules (possibly in other scenarios) we use other definitions for $f_!$. Moreover, this should be the reason why when studying Grothendieck duality we search for an adjoint of $\mathsf{R}f_*$, instead of $\mathsf{R}f_!$.
What exactly goes wrong with $f_!$ and its derived functors when the ringed spaces in question are not locally compact?