VPN extensions are add-ons supported by Microsoft Edge that provide a VPN functionality in the browser. Simply put, they can provide an encrypted connection routed via another server before reaching the online destination. You can also choose which server location to use, which is a great bonus.
The difference between an Edge extension and an Edge proxy extension is that the extension refers to a small add-on to your browser in the most general sense. An Edge proxy extension refers to that add-on’s function — it will use a proxy server.