Why I can still access Internet after I set the the HTTP proxy to a unknow address?
The fallback behavior when the proxy server is unreachable depends on which browser you're using.
For example Chrome caches information about proxy servers, so that if it detects the proxy server is unavailable - it remembers that for up to 5 minutes - and bypasses it during that time.
Some browsers will fallback to a direct connection to the web site host when the proxy server is unavailable, others only do so if you have included direct connection in the proxy list or otherwise configured the browser to do so. How to do that exactly depends on the specific browser you're using.
The linked video shows using Chrome in 2015. In older versions of Chrome, it would always fall back to a direct connection to the web site host if all proxy servers are unavailable. That behavior was changed, and it is not how modern Chrome versions work by default.