You zinesters out there never see proofs. This is equivalent to making photocopies and looking at them and deciding if you're really set to go. In zine world, I don't think making photo copies help much, except to know if photos will repro ok.
Our proofs are about having that last look, whether it's bleeds, really bad typos, design flaws, bad paths, etc. Bad things can happen, and this is your last line of defense. This is what the big boys use. The bad thing is you have to pay for these pages, and it's not an ink jet deal, these are real proofs from a printer that's probably expensive, because this shit costs. We do also get an ink jet version that's laid out as signatures of the magazine, so you can get an idea of what the mag will look like page after page. Imagine a couple of years ago, you had to make film, a velox which is a 4 color proof (imagine how much that was!), and only later did we get single sheet proofs, but it was all short lived after PDF and direct to plate came to town. Technology actually made making a magazine cheaper than ever.
One last great commend is that with zines you can do anything, anytime, and you can spend 5 seconds on a page, or take as much time as you want. Magazines have restrictions, you can't do either of the things you can do with zines, unless you want a super strange mag or a really late one.