It's basically split into two configurations: either Automatic or Manual proxy setup. In 99% of the cases, everything should be set to Off. If anything is turned on, your web traffic could be going through a proxy.

What should be the proxy settings?

One of the most crucial settings when setting up an HTTP proxy is the ports. Incorrect port settings will prevent you from establishing any connection. Typical HTTP ports are 80, 8080, and 465 if you want to use HTTPS. Your particular port numbers may be different and highly dependent on your ISP, firewall, and router.

Is it bad to disable proxy?

When using unencrypted connections, the proxy server can alter the responses you receive, both in good and bad ways. For example, an infected or malicious proxy server can be used to load malware into your browser or redirect you to a phishing website.