A request through a proxy makes a longer trip: from you to the gateway, on to the exit address, then to the site, and back the same way. Datacenter proxies add the least delay. Residential and mobile proxies add more, because the exit is a home or phone connection of ordinary speed.
Distance matters too. An exit on the other side of the world from the site is slower than one nearby. For scraping, latency is usually made up for by running more requests at once; for a person browsing, a nearby country feels noticeably quicker.
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