I have been looking for an answer to this question myself and was quiet confused.

Big confusion!

One answer is: Kamal 2 isn't intended to run without the kamal-proxy (according to this discussion on Github). The same account explained in an other comment, that you can't use proxy: false with the web role (according to this other discussion on GitHub)

A different answer is: Kamal may be intended to run without a proxy but something doesn't work. According to Kamal's documentation about roles, only the primary role uses a proxy by default. The web role as set under server is your primary role. It also states, that you can disable the proxy for the primary role.

No conclusion :(

With the public information I could gather, I can't see how there is an intended way run the web role without a proxy.