Good Question.
A proxy server plays a few different roles, but the main feature of a proxy server for a ISP is the caching of already accessed webpages, allowing quicker users quicker access.
Some ISP's require you to use the proxy or you cannot access the web, others give it as an option. Its up to you really. The problem with some proxy servers is that they become just another device between you and the net that can go down or generate errors.
Find out what there proxy server address is and try the net with and without it, and then make your decision.
Cheers!