As part of our continuous work to make Azure AD Application Proxy easier to deploy and more transparent we have created a whitepaper that provides full overview of all the capabilities around Application Proxy troubleshooting. The paper can be downloaded from here: http://aka.ms/proxytshootpaper
Even if you don't have immediate troubleshooting needs, we hope that the introduction parts will help you better understand the service. Section 3 of the paper provides detailed and complete description of all Application Proxy flows.