A proxy server serves as a gateway between the server and the client. Whatever data is sent to or received from the web, it first goes through a proxy server, and only then, it is directed either to the dedicated server or the web.
So, when you use a proxy, there is no direct communication between your server and the client.
A proxy server can perform several functions depending on how you configure it. It can be used to balance the load in the network. The proxy sends requests to several servers instead of one, thus improving the performance level.
For outcoming data, a proxy can serve as an additional security measure. It encrypts data to ensure its safe delivery and prevent modifications during the transfer.
Very often, proxies are used as one of the security measures. They can block access to particular sources: websites, pages. For that, special proxies with content filtering are used. They are common for companies that have strict policies regarding content.
Some proxies can also be applied to circumvent censorship limitations and geo-limitations. They hide the IP address of a server. Also, such proxies are used for anonymous browsing. When a content server gets a request from a proxy, it cannot identify the initial IP address, the one of your server. Therefore, there is no chance to identify the request source. Only a proxy knows it.