As you don't use a proxy server, nor connect to a network that uses proxy server, then Auto Detect or No Proxy would have exactly the same result.
A proxy server is local to your network. If you don't have one set up, then don't give your system an opportunity to lose your connection. Leave the proxy settings off (No Proxy), unless you have a proxy server set up (and you would know this if you have a proxy server, as you would be restricted from any internet connection if you don't use the proxy server settings)
Enough said on proxy,
Don't try to configure your own connection for settings that don't exist, as that can leave your connection in a possible no-connect situation when your system tries to use settings for non-existent services. Better to keep it simple, eh?
PVN? I guess you mean VPN.
Couldn't tell you much about those services that you listed, and the performance effects when using a VPN with all of those going at once.
If you use Sophos, you would notice that you already have a noticeable performance hit if you leave that in background scan. That's one of the reasons I stopped using all antivirus apps. None are foolproof, and can give you a false sense of security.
But, that subject has been worked to death on the various Mac forums. You would already know that most long time Mac users think that antivirus software is mostly a placebo, and not particularly effective in THAT role either, because of the performance hit just from using the stuff.
I DO run Malwarebytes once or twice a month. It only hits on anything once or twice a year. Keeps me ahead of the occasional malware that appears now and again because of the shopping sites that I choose to live in
I don't think a VPN would make all of that better, and you may find that your various network services might work against you in a VPN. You might want to ask your question at one of the major players, such as support at OpenDNS. They might be a good one to ask about this.