Is turning off the proxy in Mozilla Firefox dangerous?

When you use a procy server, it looks for the service you requested(like the webpage) on the web server, but the server on which this page is located does not know it's you who's looking for the page, it thinks it's the proxy; the proxy hides your IP address from the sever and uses it's own. I don't think there's a danger surfing without a proxy, a proxy lets you surf unonymously, byp parental controls, view blocked websites...if you're not planning to do any of these then you go on without a proxy, however proxies are not always safe or trustworthy, they can look up your information like pwords, pages you've visited, they can lead you to unsafe sites...