This setting can also be setted in the machine-wide .net configuration file (If it's configured in both places, your app.config setting will prevail)
Please note that you cannot set this setting if you're in a partial trust environment (so beware of click-once deployments)
That being said, if you set the setting, all http and https calls will use the default internet proxy. This doesn't concern other network connections (tcp for example), even if you've configured a socks server in the Internet Options
If there's no default proxy set, the setting has no impact, so it's usually a good idea to use it (unless you want to explicitly bypass the proxy and make a direct connection)