A proxy VPN gives you an alternative IP address – so you can bypass geo-restrictions and mask your IP address – but it does not secure your communications, which remain open and unencrypted. So when you want to connect securely and privately, and unlock the geo-restrictions that limit your life — a VPN is needed.
DNS queries sometimes / often bypass proxies. Proxies only work with applications which can deal with a proxy which are by far not all applications. In browser: browsers do proxy yes, but plugins can often not go online over proxy such as for example Java or Flash.
While using a VPN really everything runs over VPN. Customer does not have to manually configure for each program to do this - if the program can handle this. A lot of programs do not have proxy settings - particularly on mobile. For example, email programs on Mobile and in general; IMAP etc. does not support proxies. As consequence somebody using an email program and surfing with proxy is not safe. Only VPN makes it really safe.