This component is mandatory on any GameObject having Fsm component with Network synched variables, and more generally, for any gameObject that are instantiated over the photon network.
You do not need to worry about it once it's added to a GameObject.
The PlayMaker Photon Set Up Wizard has specific features that lets you conveniently set up Photon gameObjects, without worrying about this Proxy.
This proxy is responsible for dispatching the PHOTON / INSTANTIATE event to this gameObject's FSM as a starting point for processes linked to the Multi user environment. For example, you should start treating synched variables or be prepared to any multi user process by implementing this PHOTON / INSTANTIATE event.
For an implementation example, please consult the PlayMaker Photon Demo, especially the fsm responsible for the Player data synchronisation
