everyone has different needs and wants. you might want to try out various addons, see how they could fit into what you are trying to create. dont add addons just for the sake of things. If things arent being used, or adding more clutter and not much use i disable and have paid for many many styles and addons that i dont use anymore. Its really all trial and error.
Granted, but if you don't need them then you're still getting what you need from it There's always room for expanding on your needs though. The question is not "am I getting the most out of xenforo" but "Can I get MORE out of xenforo"
For example, do you need a front page/portal? Do you need a gallery or showcase? Do you need a chatbox?
There are superb addons that address all of those but they're only useful if you need them.
As for more "generic" addons that improve the forums rather than adding new sections, the Post Ratings addon would be a good addition to most forums and is generally popular with users and the Notifications addon is massively useful.
The image proxy is for sites that run SSL. It prevents browsers from displaying mixed content errors when users embed image links to non-SSL sites by simply fetching the image file and re-hosting it locally.
If you don't run SSL, you probably don't need the image proxy. But if you do run SSL, it's great.