Is it safe to change the Configure Proxy Access to the Internet

A "proxy" is an agent that takes your Internet requests and sends them to their destination on your behalf. In turn, it receives the responses to these requests before forwarding them to your computer. With networking, a proxy is a physical device, typically a server, that performs this function and is commonly used in business/educational settings. They are not common for typical consumer use to gain access to the Internet.

Another way to look at this is if your Mac is currently configured to use a proxy, and you don't know why, may be more of a security issue than just using one.

As BobTheFisherman has eluded to, are you having this issue at a workplace or somewhere outside of your home?

Then, as we both mentioned, you do not need to configure a proxy for your home network in order to access the Internet. Having this proxy enabled, is potentially why you having issues using Firefox as this is one place that you would configure them. The other location would be System Preferences > Network. However, since you are not having any issues with Safari, tends to make me believe the issue is with a setting in the Firefox browser.

Sorry, I don't use Firefox, so I can't tell you exactly where to look in that browser's setting to disable using a proxy.

Why would you want to use a proxy?

It is safe and preferred to not use a proxy server unless needed or specified by your workplace or other institution.