Once you have installed the Zotero Connector browser extension, it can detect when you access a website through a proxy. A proxy is how you are able to access Pitt resources when you are not on Pitt's network, and Pitt's proxy is pitt.idm.oclc.org. When you have the Zotero Connector extension installed, Zotero will prompt you to automatically redirect future requests to certain websites (such as nature.com, pictured below) through that proxy. However, you should not allow Zotero to do this, as it can cause problems on some websites, including PubMed.
You should never click "Accept" when you see this message. Instead, you can either ignore it when it appears, or you can click on "Proxy settings" and instruct the Zotero Connector to never automatically redirect websites through a proxy. Once you have opened "Proxy settings," simply uncheck the box next to "Enable proxy redirection." Once you have unchecked this box, you should no longer see messages from Zotero about redirecting websites through a proxy.
There is another way to access the proxy settings, if you want to be proactive before you get a message from Zotero asking you if you wish to automatically redirect pages through the proxy. At any time, you can right-click on the Zotero Connector in your extensions in your browser, and then choose "Options," as shown below. This will take you to the Zotero Connector settings, and if you select "Proxies," you will be able to uncheck the box for "enable proxy redirection, as shown above."