Bypass Proxy Settings "captive.apple.com"? Mac: System Preferences -> Network -> Advanced -> Proxies -> Bypass proxy settings for these Hosts &amp; Domains: "captive.apple.com"

Should this address be bypassed? My guess is that TunnelBear VPN may have put this there as they mess with proxy settings.
This relates to how Apple logs into WiFi, particularly the free or public WiFi you find in many places.  Many of these networks want you to agree to terms/conditions, sign-on, pay for service, etc.  They intercept all Web requests and divert you to the agree/login/pay page.  Apple tries very hard to automatically detect this, and turn their login page into a "pop-up" with a "Cancel" button.  When you succeed, it changes the button to "Done". 

How does it do this?  By attempting to send traffic to captive.apple.com.   If the traffic makes it through, it knows the WiFi channel has granted you access, and changes the button to "Done".

If you were to proxy that, it wouldn't work.