Address per program or VPN for everything
Control per task or protection for the whole machine.
The proxy applies to the program you point at it: the browser, the script, the tool. The VPN applies to the whole machine, including what you did not configure.
How to choose
For work per site, testing and separated accounts, the address per program gives control: each task leaves through one address. To protect the whole connection of a machine or phone, the VPN is the way.
You can use both: the VPN on the machine and the proxy address in the program that needs another IP.