No — Chromium fails closed. Tested directly: a dead but well-formed proxy gives ERR_PROXY_CONNECTION_FAILED, and a malformed one gives ERR_NO_SUPPORTED_PROXIES. In neither case does it fall back to a direct connection; the page simply doesn't load.
Two more layers. WebRTC has its ICE candidates filtered and its public address rewritten to the proxy's exit, backed by Chromium's own IP-handling policy at the network layer. And Settings → Require a working proxy tests the proxy before opening anything and refuses to launch if it fails — off by default because it costs a round trip per launch, worth turning on if a leak would cost you an account.
Two more layers. WebRTC has its ICE candidates filtered and its public address rewritten to the proxy's exit, backed by Chromium's own IP-handling policy at the network layer. And Settings → Require a working proxy tests the proxy before opening anything and refuses to launch if it fails — off by default because it costs a round trip per launch, worth turning on if a leak would cost you an account.