Before connecting to a site, a program turns its name into an address. If that lookup goes out over your own connection, your internet provider sees the name, and a site that checks may notice the lookup came from a different country than the visit.
An HTTP proxy resolves names on the proxy side by itself. With SOCKS5 it depends on the program: in curl, socks5h:// resolves through the proxy and socks5:// does not. Browsers have their own setting for it.
Read next: HTTP vs SOCKS5 proxies