It looks like this site is storing on a database the headers with the IP address of the visitor. When you use a proxy , several IP's are stored on this header (proxy IP's and Final Client IP) so that's why this site shows that error. As far as I can see the field for such value has been restricted by the DBA to 20 chracaters, and when you're using the proxy it has 37.
I don't think this is a website critical error, but the correct way to correct this but be the DBA to allow larger fields for Host value (IP_ADDRESS in the database)