RTP Widget Preview - What is via proxy?

So when previewing my widget to see how it will look to viewers, i have the choice between via proxy and not via proxy? What is the difference and how will it be shown once live?

When i add via proxy my widget for some reason has scroll on the right handside and you can see an outline of a box in the background which im assuming is the back link I have attached. Is this because it is via proxy and it will not actually look like this to viewers?

Thanks