Proxy for Telegram works only inside the app itself, so it doesn’t load the whole device. For me that was already one of the main points, because recently my phone started heating up so much from VPN that it even turned off a couple of times. Because it works only within one app, connection through telegram proxy is faster and more stable, with fewer delays and failures. VPN, on the other hand, encrypts all the internet traffic of the phone, which sometimes slows things down. Something like that.