A proxy is a small program that runs as Windows service and collects data from one or more servers. The proxy is responsible for collecting monitoring, tracing and diagnostics data from the servers, instances and databases, using the Windows PerfMon API, SQL queries and registry checks.
The recommended maximum number of servers monitored by one proxy is 25. If you have more servers, it is recommended to install more than one proxy.
If the servers you want to monitor are on different domains than SQL Governor, at least one proxy is needed per domain.