Many solutions promoted as VPNs are technically just proxy servers. This raises the question: why, in many cases, is it better to buy a proxy server than use a VPN? What’s the Difference Between VPN and Proxy? With a VPN, any packet loss (e.g., due to network delays) requires retransmission along the entire tunnel—from client to destination server. They have their own TCP buffers, and retransmissions occur independently on each segment: “client → proxy” and “proxy → destination server.” Temporary delays or losses on one segment do not affect the other.