The proxy sits between one program and the internet. Only the program you configured leaves through the address you bought. The rest of the device keeps leaving through your provider.
The VPN takes everything the device sends. That is why it needs an installed app and serves one device at a time.
A VPN is sold by other providers, not by us: here we work only with proxy addresses. It remains the way to go when the whole device has to leave through one place — including what you did not configure.
If what you want is one specific program leaving through another address, the proxy does it. If you want the whole device to leave, that is a VPN, bought elsewhere.