what it means is that all internet traffic on cricket has to pass through a proxy server (wap.mycricket.com) on port 8080 only, which blocks you from using pop3 and smtp for email or anything else that uses a port other than 8080...
dropping the proxy means that cricket would no longer use a proxy server at all like sprint...
then there would also be no need to access the internet on your pc through a proxy when you tether.