Direct Server Return means your load balancer isn't a bottleneck for responding to requests and allows you to load balanace the network traffic as well hardware resources.

For example, say you have 5 x SoYouStart servers, 1 is setup as the load balancer and the rest set up as application servers, each is limited to a max of 250 Mbps.

With the current setup the max traffic you can support is 250 Mbps because every request has to come into the loadbalancer, its sent to an application server, the application server sends the response to the load balancer, and the load balancer responds to the clinet.

With DSR mode the max traffic you can support is basically limited to the number of servers you have, in the example above 1Gbps. That's because the application servers respond directly to the client instead of having to route their responses through the load balancer.

Here are the details on how to do it manually if it helps - https://www.haproxy.com/documentation/aloha/latest/load-balancing/direct-server-return/