Proxy servers are used for one of 2 main things:
Large networks (usually corporate networks) that funnel a whole sub-network through a single internal IP address as it passes through the network before actually hitting the main NAT to bounce the signal out to the internet. In such cases, these types of setups often have a wide range of blocks built into the proxy so that corporations can control what goes through their network.
Masquerading your IP address behind another network so that your actual IP is not directly visible to the peer pool on the torrent. This helps to give you an added layer of protection by not revealing your real identity That being said though, if you want some sort of peer protection or more particularly, honeypot/troll protection, I would recommend the use of a VPN for a few reasons. Aside from the added advantage that a VPN will direct ALL your network traffic through another source, a lot of proxy systems do not function with our site because of some of the security measures that have been implemented. There is a technical explanation for why this is, but I'll spare the lengthy story behind that. 🙂
Unless your ISP has advised you to use a proxy server, or unless you really want to take a chance in hopes that the proxy service that you're using does actually work with our site, I would recommend leaving the proxy settings set to connect directly (or no proxy used) in your uTorrent settings.