Proxy.app have three distinct operation modes. By default the tools is not actively listening to connections - known as resting mode (highlighted stop button). Next is the the passive monitoring mode (highlighted play button). In this mode requests and responses will be only captured and recorded. Finally there is the interception (highlighted interrupted play button) mode where requests and responses will not only be captured but also their data can be manually modified while in transit.
You can toggle between the different modes by clicking or drag the slider or by using key combination