Yes, an agenda/notice does need to go out with the proxy so people know what are they voting on, especially when they are giving someone their proxy vote.

In example, say at the meeting there is a topic/item you are not in favor, but you can't attend the meeting. Therefore, you will give your proxy vote to someone to vote on your behalf knowing that person will use your vote the same way you want it to.  Hope this offers clarity to the purpose of a proxy.