It will still connect to other stuff, like your community relays, location relays, chat relays, buzz/Concord relays, etc etc etc.
The proxy is only used to assemble the main feed from one relay.
I...
I think it's doing more than that, because I open amethyst, I'm on the "notifications" page, showing one single note, from you.. And it connects to 375 relays hehe. I know this note and my note are on the proxy..