The possible duties of a proxy server are:
It can Authenticate requests on VPN connection - Proxy servers can be used in VPNs by implementing remote access to users even when they are at home. Since everything is remote, additional security should be implemented. Stronger passwords are needed and advanced encryption procedures will be impleented.
Filter requests for websites - Proxy servers are used by companies to ensure that their employees are following their policies on acceptable usage of their computing and internet resources. Thus, administrators can use Proxy Servers to monitor their employees activities closely. If not, they could assign a redirecting website or a page with a message if you go to a website that is tagged as "prohibited".