Using the proxy can be faster if you visit mostly static web pages. The pages get cached on the server and are available the next time you request them without having to colnnect to the remote web site.
On the other hand, most web pages these days are dynamic, that is, there content changes from moment to moment. These web pages are not cached on the server and you receive no benefit from using the proxy. In fact, there is additional processor overhead when using the proxy, so if you visit mostly dynamic pages then there is no good reason to use the proxy.