These two games differ from the rest when it comes to proxies: in both of them, server-side proxy use is common and legitimate. In Minecraft, proxy software such as BungeeCord/Velocity is used to build server networks; in Roblox, game servers run on Roblox infrastructure and client-side intervention is limited.
Two Different Notions of "Proxy"
In the Minecraft community, "proxy" usually refers to the second branch; the products on this site belong to the first. For the difference, see forward vs. reverse proxy article for details.
Minecraft Server Network Architecture
Servers that want to bring several game modes together under a single address put a proxy application in front of them. The player connects to a single address; the proxy routes them to the appropriate server in the background.
The connection is not dropped while the player moves between servers. This is not a forward proxy but a kind of application router.
When setting up a server network, configure the backend servers to accept connections only from the proxy IP. Otherwise players can bypass the proxy and connect directly, and authentication can be bypassed.
What Is Possible on the Client Side?
If the game's login/download traffic is blocked on a school or corporate network, these TCP-based requests can be carried over a proxy. However, since in-game UDP traffic is not carried, in most cases this is not a complete solution.
Because the Minecraft Java edition uses TCP, it can be routed over SOCKS5 — this is an exception among games.
Security Note
In these two games in particular, where young users are numerous, software distributed with the promise of a "free proxy" can be malicious. Do not install client mods or proxy tools from unknown sources. For the general risks of free addresses, see what is a free proxy article.
You can measure the latency to your server with the ping test tool , and your connection address with Proxy Check .