When user clicks on a proxy, a popup window gets viewed, with two buttons. One for adding the proxy and another for cancelling the action.
It is not a bad option but many users don't need it. For many users it is annoying to answer it again and again.
Create an option in settings menu to disable this window. So user can disable it to be able to add any proxy instantly only by clicking on its link.
Also, another solution is to add a "Never ask again" checkbox in the popup window.
Or a button with the similar job in that window, with this caption: "Connect proxy and always connect without asking"
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