Think of a proxy as a web filter. The web service proxy settings are applied to your internet browser whether you're using Chrome, Safari, Firefox, or any other web browser.
When browsing the internet through a proxy server, all security, speed, and option to choose geographic location are enhanced - but only when browsing the internet. Even the best proxy service will only secure traffic via an internet browser using the proxy server settings. There is no way to automatically configure use for your other smartphone apps or computer programs.
A proxy server is completely browser-based. It is not as compatible with certain web pages that use non-browser technology. It also does not protect you or offer any additional benefits when using apps or desktop/laptop clients.
A VPN service provider (otherwise known as a Virtual Private Network) encrypts all of your traffic, replacing your ISP and routing all traffic through the VPN server, including programs and applications you might be using on your laptop or smartphone.
A VPN will work with all internet-based services. Everything is routed through that server when connected, so all of your web traffic and device use is 100% protected when using VPN services.