The proxy is used to invoke URLs on other servers from within client-side code as a work around for the cross-site scripting limitation. Most often, the server you want to talk to is the repository tier.
So if you are in a controller in a Share-tier web script, there is no need to use the proxy. Server's aren't subject to the cross-site scripting limitation. But if you are making an AJAX call, for example, you should go through the proxy.