Which Proof>Setup view to use?

As for what profile to choose for what destination, you have to know the destination. If the designation is not a particular device but a common target like offset printing or web page viewing on the Internet, then use one of the common color spaces profiles that come with Photoshop. For printing assign US Web Coated (SWAP) v2 color profile on your CMYK images, and for web sRGB IEC61966-2.1 and you will be fine for the current most common printing and web viewing situations. Also if  you choose in the Color Settings North American General Purpose 2 preset from the Settings menu (which is the default), all new documents created will be automatically assigned these profiles.

You should make sure that the current image color profile is the one of your targeted destination and Photoshop will simulate as much as possible the targeted device on your monitor. For that you don't need any Proof Setup being on. You can check what is the current color profile of the image being  used in the Info palette when show  Document  Profile is checked in the Info palette's options.

Proof Setup is useful when you want also to check how your image will look on other color spaces and devices that are different from the space of the currently used color profile of the image. For example you can create multiple windows of the image by choosing Window > Arrange > New window for "name of your document" and apply different viewing profiles for each window so you can see simultaneously how your image will look on different targets while you are creating/editing it.