Without the mediaproxy function, Pleroma don't store any remote content like pictures, video etc. locally. So every time you open Pleroma, the content is loaded from the source server, from where the post is coming. This can result in slowly loading content or/and increased bandwidth usage on the source server.
With the mediaproxy function you can use the cache ability of nginx, to cache these content, so user can access it faster, cause it's loaded from your server.
Edit your nginx config and add the following location: