This just happens to be my area of expertise, so I'll chime in using an account from long, long ago.
Proxies, in essence, provide you a way to filter outbound Internet traffic. Most companies use them from using types of content they don't want their users to get to - Things that violate HR policies (Porn, gambling, etc.), things that could harm the network (malware, phishing, spyware etc.), and just things you don't think you want your people doing, depending on the role of your company. It also provides a history of who has done what, which can be handy for your investigations and HR teams. ("They say Bob spends most of his time on YouTube and online games. Does he really?")
For some companies, this can be a big deal - If someone pops open pornhub on a company computer and others are offended it can turn into an HR issue pretty quickly. If your company didn't do anything to prevent it, the company could possibly be held liable. (Caveat: I'm not a lawyer, so take this with a grain of salt). Blocking malicious sites is important - zScaler and other similar companies do a good job at identifying and blocking problem sites like malware, phishing, etc. that stop Bad Things from getting into your company's network.
In general, it's a good idea for any medium-to-large company. If you're already using the zScaler client, turning it on should be pretty minimal.