Hi Ang1e-H123,
We see you're running into some issues connecting to Wi-Fi on your iPhone, but you're able to connect on your Mac. We'd like to get some info to see how we can help.
Regarding "Configure Proxy," it would depend on your specific usage and network, but generally, you should be able to connect without turning that on.
Are you getting an error message when you try connecting? Depending on what's happening, it might help to restart your router. Even if the Mac connects as expected, this can still be helpful if you have an issue on the iPhone side of things.
If that doesn't help, this link offers a few other general steps that might be useful If your iPhone, iPad, or iPod touch won't connect to a Wi-Fi network. Give those a try, and let us know the results.
Take care.