It depends on the source where you download from. Some of the sources don't need a proxy server in order to download from them. If your download is working normally without a proxy address, it's nothing unusual. Also, if your download isn't working at all, it's possible that you have to use a proxy server because the data could not be available in your region. Check the official website to learn more about the program's functionality. Also, you can use Google to learn more about Proxy Servers.