Sending a ROBLOSECURITY cookie with a request authenticates it to originate from a logged in user account. Some endpoints require this cookie so someone doesn’t see or change something without permission.
This cookie shouldn’t be shared. It can allow anybody to become you on Roblox. Since you need a proxy to launch these requests in-game, you’d be forced to share the cookie with the proxy server if you’re authenticating a request. That’s part of the reason there’s advice about self hosting proxies.