Do Android proxy settings apply to all apps on the device?

Try postern. It redirect all the traffic to a local vpn and support:

• SSH Tunnel
• Shadowsocks
• SOCKS5 Proxy
• HTTPS/HTTP CONNECT

You can find it here:

https://play.google.com/store/apps/details?id=com.tunnelworkshop.postern

and more similar apps like it here:

https://android.izzysoft.de/applists.php?topic=cat;id=109

No, they do not apply globally and without root there is no way to force a proxy to be used by all applications. The reason the message you found is worded that way is that it is up to the app creator to respect the proxy settings and use them or do the wrong thing and ignore them.

If you happen to be rooted, you can use this app which will apply the proxy settings to all apps and activities.

The reason that this is not the default behavior is because it could present some security risks. If all traffic could be redirected, users could have all of their traffic be going through some bad proxy server that snoops on them so they default to only allowing apps to use proxy if they explicitly ask for it.