I switch between both. Proxy is just when I don't want all of my machine traffic to be routed. My issue with cloudflare is also browser based. They use canvas fingerprinting which I disable. They can't tell the difference between a forward proxy and a VPN for http traffic. It comes from the same IP and the traffic should look identical to them.
Discussion
Any proxy you recommend if I wanted to try something new?
I run Squid in a VPS. Keep in mind it doesn't really hide your traffic from your ISP, you can use TLS between your client and server, but TLS traffic is pretty identifiable so I don't think it offers very much protection, short of masking your physical IP address.