Ensure you're connected to Mullvad VPN before attempting to connect to a proxy, as they're only accessible internally. Connecting via WireGuard will allow a full selection of server locations, whereas OpenVPN connections are limited to the current location only.
For more info, see:
https://mullvad.net/en/help/socks5-proxy/If you have privacy concerns regarding the way the extension operates, you are encouraged to review (and build from) the source code found
here.
