We server proxy when transferring data to R3 and have some complex logic for insertion. Lets supporse you are working for a Bank Client , so you might have Standard BAPI for some function . So you can use develop abap program and call the BAPI.. But Before calling the BAPI you might need to populate some value from different tables. like gettign country code number based on the coutry name and other business logic...so this can be developed very easily in abap code..
Proxy is basically abap code that XI call directly without using any adapter . so it bypasses adapter engine and hence performance is good...
similar is the case for client proxy ..abap which send the data to XI directly...you have to scheduled the abap code ..to trigger it..
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