Update docs/product/relay/modes/index.mdx

Co-authored-by: Joris Bayer <[email protected]>

Author: tobias-wilfert

docs/product/relay/modes/index.mdx

@@ -30,7 +30,7 @@ relay:
 
 ## Proxy Mode
 
-Proxy mode forwards the all events with minimal processing.
+Proxy mode forwards the all events with minimal processing and does not receive any project settings from Sentry.
 
 <Alert title="Rate Limiting">