When unchecked (default), artifact links in Jenkins redirect the browser directly to the Artifactory server.
When checked, Jenkins proxies all artifact downloads through itself, streaming each file from Artifactory on behalf of the browser. Use this when Artifactory is on a private network not reachable from users' browsers, or when you want Jenkins to be the single access point and enforce its own authentication.
Note: with this option enabled, all download traffic passes through the Jenkins controller, which may affect performance for large or frequently accessed artifacts.