Using a full fledged VPN like SurfEasy VPN for your device helps protect and secure all your online browsing and activity sessions. If you wish to only secure your browser usage, you can install SurfEasy VPN for your Opera browser or Chrome browser.
As far as I can tell, no, you don't have to use their proxy if you're connected to their VPN although doing so will provide a higher level of anonymity by masking your internet traffic even further (but may slow down your connection overall).
if you have the desktop version of the VPN then you don't need the browser extension. The benefit of the browser extension is that you can VPN your browser only and not other programs which you might not want the VPN to be tunneling such as your games etc.