It depends on your use case.
For example, when solving captchas, repeated requests through the same IP can burn that IP, and you'll get harder and harder challenges, so you rotate.
You don't rotate if you need a consistent request profile throughout the session on the target site.
If you're making one-off requests and your proxy list isn't great, you need to strike a balance: take advantage of a live proxy once you hit one, and keep using it while it stays alive.