When you actually need it
Two typical situations. Either your network forces everything through a corporate or campus HTTP proxy before it can reach the internet, or you want traffic to land on a relay first so the exit IP is harder to correlate with you.
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Parameter settings has an upstream (pre-)proxy field. Fill in the address and port of the first hop and every outbound goes through it. Note that subscription updates travel the same path — if the first hop is down, updates fail too.
Count the cost
- Every extra hop adds latency. Past two hops, gaming is basically off the table.
- Longer chains are harder to debug. When something breaks, disable the upstream first to see which leg is at fault.