It's not specific to social media.

When you connect to a site, your browser sends a request to a server, which handles things like encryption (https) and figures out what you're trying to do. This server doesn't host the content itself, but acts as a gateway to the server that does - hence "reverse proxy". Keeping them separate like this has some security and performance benefits, think having a bouncer at the club entrance as opposed to having bar staff take care of shit themselves.

Server =/= physical machine, so your reverse proxy server can be running on the same machine (or virtual machine) that Lemmy is running on, for example. There's nothing dodgy about a site using a reverse proxy, in fact it would be very sloppy not to use one.