If you look at those two settings under My Store, you'll see that they BOTH talk about CURL PROXY. Set the status to OFF. And leave the URL blank.
You ONLY turn that on IF your hosting company USES a proxy. No reputable hosting company will use a CURL proxy.

Zen Cart will use CURL when it needs to. If you enable a module that requires CURL but your server doesn't have it available, you will see specific warnings.