Let's see why we need a proxy not a VPN and why VPN does not work with TexAu.
VPN changes your IP address and location while proxy changes actual server location. Here proxy will be used to change the TexAu server location and make it nearest to your location.
This will avoid any warning messages since platforms will feel like it's you who is trying to access the platform.
Hope this helps.
If you have any further query regarding this, You can reach out to us through support available on TexAu.