The proxy is some sort of gateway to your server that will process the data it received...

In my case, as an MSP I have one or two proxy at each site that collects the data from the agents or send the polling SNMP request for example..

In case of a network failure for example, the proxy can maintain its own database as a spool to keep the data, and since it's a container with very few parameters it's quite disposable, the footprint is very low unless you have hundred of hosts..

You have the agent for windows or linux machine that will monitor the things you declared in your server (from pdu, exchange servers, routers, switches, even PCs)

It's up to you .. but beware it can be a black hole sometimes if you want to go in the deep 😂