Hi 3dseo,
The custom proxy URL option is intended for experts. It would enable to use a custom proxy system to serve resources, for example a CDN. For most users it could be left default (blank). WordPress (PHP) will then proxy resources.
To improve the performance of the proxy it is possible to specifically pre-configure the resources that will be proxied. The resources will then be loaded directly from the cache location and potentially via a CDN so that the performance is the same as for any ‘static resource’.

I understand all that, definitely. Much appreciated taking the time to explain it.
I’m still getting the syntax incorrect even with a CDN address. /sigh
It would be best to leave the field empty. The field isn’t intended for a CDN URL. It is intended for a custom proxy URL that should include specific parameters.
The parameters {PROXY:TYPE}/{PROXY:URL} are replaced with the type (CSS or javascript) and URL (e.g. https://www.google-analytics.com/analytics.js).
The proxy should then return an optimized response. This requires custom logic. An option would be for example Nginx+Lua or a Node.js proxy server.
https://blog.cloudflare.com/pushing-nginx-to-its-limit-with-lua/