The socket server will redirect your message to the correct recipient and provide information about the clients. Client may request information by calling the functions available in the socket server. Please check out the server's API for more details.
Besides, the proxy is used bypass most of firewall and anti-virus program by using the standard HTTP protocol (port 80). If the client was connect to the server directly, the application could be blocked by the internal firewall or anti-virus. Besides, it is much safer that using the HTTP protocol to transmit the message (You can even use https for your message).
If you are interested more on how it's work, please refer to the full documentations.