I don't know what you mean by a downside to using the proxy. The web shield uses a localhost proxy so that it can pre-scan the http port 80 traffic (your browsing) before it is saved to the browser cache and run/displayed, etc.
The downside of 'not' using the proxy is the web shield isn't scanning your browser traffic, reducing your level of protection.
These tutorials were designed for older OSes where the avast web shield wasn't transparent (e.g. you didn't have to set it up), so you were forced to manually apply the proxy settings in your browser.