Proxy Manager can connect with the main Bright Data infrastructure using either HTTP or HTTPS connection.
To avoid confusion: it is NOT the connection type to the target URL. To make sure the connection is secure it's enought to keep Connection to Super Proxy with a default value (HTTP) because the HTTPS requests create end-to-end encrypted connection with the target site anyway.
When do I need to touch it?
In most of the cases you don't even need to touch this config. It may come out useful though when connecting from some territories where traffic to some domains is blocked. In these cases you need to set it to HTTPS not to allow the global firewall to see the content of your proxies traffic and filter it out based on the target domain