Connection:Keep-Alive and Proxies

Following is a para which i read in one book.
I could not understand it.
Could somebody please elaborate

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An HTTP/1.0 client could send a "Keep-Alive" header to a HTTP/1.1 proxy that did not understand "Connection" but might mistakenly forward it. If
the downstream connection also maintained a "Keep-Alive" connection, the proxy in the middle would never receive the closing of the response
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My question, is why does it matter. The proxy will just relay whatever comes from actual server to client.

Thanks
diwakar